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 (2017)

Portfolio Tax Trading with Carryover Losses

Management science Doi: 10.1287/mnsc.2017.2733

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

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
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