Chunyu Yang

Ehling, Paul; Gallmeyer, Michael, Srivastava, Sanjay, Tompaidis, Stathis & Yang, Chunyu (2017)

Portfolio Tax Trading with Carryover Losses

Management science, 64(9) , s. 4157-4176. Doi: https://doi.org/10.1287/mnsc.2017.2733 - Full text in research archive

We study portfolio choice with multiple stocks and capital gain taxation assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, that optimal equity holdings over an extended period are significantly lower on average than benchmark holdings suggested in the literature. Using Value and Growth or Small and Large portfolios, the backtests show that allocations remain persistently under-diversified. Carry-over losses have large economic significance since they can dramatically shrink the no-trade region. Finally, the backtested economic cost of incorrectly modeling capital losses is at least 8 percent of lifetime wealth.

Yang, Chunyu & Tompaidis, Stathis (2014)

Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares

Journal of Computational Finance, 18(1) , s. 121-143. Doi: https://doi.org/10.21314/jcf.2014.279

Roche, Hervé; Tompaidis, Stathis & Yang, Chunyu (2013)

Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios

Journal of Financial Economics, 109(3) , s. 775-796. Doi: https://doi.org/10.1016/j.jfineco.2013.03.016 - Full text in research archive

Empirical studies of household portfolios show that young households, with little financial wealth, hold underdiversified portfolios that are concentrated in a small number of assets, a fact often attributed to behavioral biases. We present a potential rational alternative: we show that investors with little financial wealth, who receive labor income, rationally limit the number of assets they invest in when faced with financial constraints such as margin requirements and restrictions on borrowing. We provide theoretical and numerical support for our results and identify the ratio of financial wealth to labor income as a useful control variable for household portfolio studies.

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2016)

Portfolio Tax Trading with Carry-Over Losses

[Conference Lecture]. Event

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2015)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Conference Lecture]. Event

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2014)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Conference Lecture]. Event

Yang, Chunyu (2012)

The Test Region Iterative Contraction (TRIC) Method for Solving Stochastic Control Problems in Finance

[Conference Lecture]. Event