Faculty Profile

Chunyu Yang

Associate Professor - Department of Finance

Biography

Personal homepage

Chunyu Yang received his PhD from the McCombs School of Business, the University of Texas at Austin in 2010. Upon graduation he joined Morgan Stanley, New York, USA as a Market Modeler and Strategist. In 2012, he joined BI Norwegian Business School in Oslo, Norway. Yang’s research interest is in general equilibrium models of asset pricing, portfolio choice, derivative pricing, and financial risk management.

Publications

Ehling, Paul; Gallmeyer, Michael, Srivastava, Sanjay, Tompaidis, Stathis & Yang, Chunyu (2018)

Portfolio Tax Trading with Carryover Losses

Management science, 64(9), s. 4157- 4176. Doi: 10.1287/mnsc.2017.2733 - Fulltekst i vitenarkiv

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.

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: 10.1016/j.jfineco.2013.03.016 - Fulltekst i vitenarkiv

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

[Academic lecture]. Academic Seminar.

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

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

[Academic lecture]. American Finance Association Annual Meeting 2015.

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

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

[Academic lecture]. Young Scholars Nordic Finance Workshop.

Yang, Chunyu (2012)

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

[Academic lecture]. INFORMS Annual Meeting 2012.

Academic Degrees
Year Academic Department Degree
2010 University of Texas at Austin Ph.D.
2004 Iowa State University M.S.
2002 Tsinghua University Bachelor
Work Experience
Year Employer Job Title
2016 - Present BI Norwegian Business School Associate Professor
2012 - 2015 BI Norwegian Business School Assistant Professor
2010 - 2012 Morgan Stanley Quantitative Strategist