Fossett Distinguished Professor of Finance and Director of the Master's in Finance Program
Area of Expertise:
Asset Pricing, Financial Economics, Option Pricing
Optimal consumption and investment with frictions, asset pricing, market microstructure
- "So What Orders Do Informed Traders Use?", Journal of Business, 1867-1913, with R. Kaniel, 2006
- "Optimal Consumption & Investment with Transaction Costs & Multiple Risky Assets", Journal of Finance, Issue 59, 289-338, 2004
- "Optimal Portfolio Selection with Transaction Costs and Finite Horizons", Review of Financial Studies, 805-835, with M. Loewenstein, 2002
- "Optimal Consumption of a Divisible Durable Good", Journal of Economic Dynamics & Control, 561-613, with D. Cuoco, 2000
- "A Martingale Characterization of Consumption Choices & Hedging Costs with Margin Requirement", Mathematical Finance, 355-385, with D. Cuoco, 2000
- Referee, American Economic Review, Journal of Economic Theory, Journal of Finance, Journal of Financial Economics, and Review of Financial Studies among others.
- Member, American Finance Association; Society of Financial Studies; Western Finance Association
- Committee Member, Western Finance Association Conference
- Marcile & James Reid Chair, Washington University, Olin School of Business, 2004
- Prize in Investment Research, Geewax, Terker & Company, 1998
- Lawrence Robbins Prize in Economics, University of Pennsylvania, 1995
Professor Liu enjoys spending time with his family, playing table tennis, and playing bridge.