Hong Liu

Fossett Distinguished Professor of Finance and Director of the Master's in Finance Program

Hong Liu

Hong Liu

Area of Expertise

Asset Pricing, Financial Economics, Option Pricing


  • Ph D 1998, University of Pennsylvania
  • MA 1994, University of Connecticut
  • MS 1990, Shanghai Jiao Tong University
  • BS 1987, University of Science & Technology of China

Academic/Professional Activities

  • 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

Teaching Interests

Finance/Investments - Financial Economics; Finance/Investments - Investment/Security Pricing/Portfolio Theory; Finance/Investments - Option Pricing

Research Interests

Optimal consumption and investment with frictions, asset pricing, market microstructure

Personal Interests

Professor Liu enjoys spending time with his family, playing table tennis, and playing bridge.

Selected Publications

  • "So What Orders Do Informed Traders Use?", Journal of Business, 1867-1913, with Ron Kaniel, 2006
  • "Optimal Consumption & Investment with Transaction Costs & Multiple Risky Assets", Journal of Finance, Issue 59, 289-338, 2004
  • "Uniqueness of the US Dollar", with Peter Haslag, Ngoc-Khanh Tran
  • "Optimal Portfolio Selection with Transaction Costs and Finite Horizons", Review of Financial Studies, 805-835, with Mark Loewenstein, 2002
  • "Optimal Consumption of a Divisible Durable Good", Journal of Economic Dynamics & Control, 561-613, with Domenico Cuoco, 2000
  • "A Martingale Characterization of Consumption Choices & Hedging Costs with Margin Requirement", Journal of Mathematical Finance, 355-385, with Domenico Cuoco, 2000
  • "Limited Participation and Consumption-Saving Puzzles: A Simple Explanation and the Role of Insurance", Journal of Financial Economics, Issue 2, 331-344, with Todd Gormley, Guofu Zhou, 2010
  • "Equilibrium Forward Contracts on Nonstorable Commodities in the Presence of Market Power", Operations Research Journal, Issue 1, 128-145, with Lingxiu Dong, 2007