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Liu, Hong

Professor of Finance
Washington University in St. Louis


Educational Background

Ph.D. in Financial Economics, University of Pennsylvania, USA


Professor Liu currently is Professor of Finance in Washington University in St. Louis and has been the Academic Director of the Master of Science in Finance Program since 2008. He had worked for State Planning Commission of P. R. China (1990-1992) as an economist.

Honors / Achievements

Marcile and James Reid Chair for consistent excellence in teaching from Olin School of Business First Prize of Geewax, Terker & Company Prize in Investment Research for 1998

Short BIO

Professor Liu’s research areas are optimal consumption and investment with frictions, asset pricing, and market microstructure. His papers and researches have appeared in Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Economic Theory, and other leading academic journals. He had co-authored a book, Recent Developments in Mathematical Finance, which had posted impressive influence on the studies of investments and consumptions with market imperfections. Professor Liu is a member of American Finance Association, Western Finance Association, American Econometric Society, and Econometric Society.


  • Hong Liu, Solvency Constraint, Underdiversification, and Idiosyncratic Risks, forthcoming, Journal of Financial and Quantitative Analysis.

    Hong Liu, Mark Loewenstein, Market Crashes, Correlated Illiquidity, and Portfolio Choice, forthcoming, Management Science.

    Min Dai, Hanqing Jin, Hong Liu (2011), Illiquidity, Position Limits, and Optimal Investment for Mutual Funds, Journal of Economic Theory.

    Philip H. Dybvig, Hong Liu (2010), Lifetime Consumption and Investment: Retirement and Constrained Borrowing, Journal of Economic Theory .

    Philip H. Dybvig, Hong Liu (2011), Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing, Mathematics of Operations Research.

    Todd Gormley, Hong Liu, and Guofu Zhou (2010), Limited Participation and Consumption-Saving Puzzles: A Simple Explanation and the Role of Insurance, Journal of Financial Economics.

    Bong-Gyu Jang, Hyeng Keun Koo, Hong Liu, and Mark Loewenstein, (2007), Liquidity Premia and Transaction Costs, Journal of Finance.

    Lixin Huang, Hong Liu (2007), Rational Inattention and Portfolio Selection, Journal of Finance.

    Lingxiu Dong, Hong Liu (2007), Equilibrium Forward Contracts on Non-storable Commodities in the Presence of Market Power,Operations Research.

    Domenico Cuoco, Hong Liu (2006), An Analysis of VaR-based Capital Requirements, Journal of Financial Intermediation.

    Ron Kaniel, Hong Liu (2006), So What Orders Do Informed Traders Use? Journal of Business.

    Hong Liu, Jiongmin Yong, (2005), Option Pricing with an Illiquid Underlying Asset Market, Journal of Economic Dynamics and Control.

    Hong Liu (2004), Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets, Journal of Finance.

    Hong Liu, Mark Loewenstein, (2002), Optimal Portfolio Selection with Transaction Costs and Finite Horizons, Review of Financial Studies.

    Domenico Cuoco, Hong Liu (2000), Optimal Consumption of a Divisible Durable Good, Journal of Economic Dynamics and Control.

    Domenico Cuoco, Hong Liu (2000), A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements, Mathematical Finance.

Working Paper

  • Is Capital Gains Tax Law Biased against Low Income Investors?
  • Why Can Bid-ask Spreads Decrease with Information Asymmetry? A New Model of Market Making