The greatest beauty of research is uncertainty (in so many levels), as our old friend Al said, “If we knew what it was when we were doing, it won’t be called research, would it?”

Education

o PhD, MBA (expected in 2010), The University of Chicago Booth School of Business

o M.S., Dec. 2004, Northwestern University, Dept. of Industrial Engineering and Management Science

o B.E., Jul. 2003, Tsinghua University, Dept. of Automation

For me, it is sufficient to really understand a couple of important concepts for each level of my education. And I am glad that I did (at least partially). In Tsinghua, System, Control, and Feedback; In Northwestern, Optimality, Uncertainty, and Hedging; In Chicago, Equilibrium, Incentive, and the Importance of Data.

Research Papers

o “A Model of Taxable Portfolio with Many Assets,” (with John R. Birge), Journal of Banking and Finance. 31 (2007), 3269-3290.

Abstract: Taxable portfolios present challenges for optimization models with even a limited number of assets. Holding many assets, however, has a distinct tax advantage over holding few assets. In this paper, we develop a model that takes an extreme view of a portfolio as a continuum of assets to gain the broadest possible advantage from holding many assets. We find the optimal strategy for trading in this portfolio in the absence of transaction costs and develop bounding approximations on the optimal value. We compare the results in a simulation study to a portfolio consisting only of a market index and show that the multi-asset portfolio’s tax advantage can lead either to significant consumption or bequest increases.
It is always a little bit exciting to see your first paper. I’d love to dedicate this paper to my mom, who is keeping a copy of it, even though she doesn’t read English.

o “How Inventory is (Should be) Financed? Trade Credit in Supply Chains with Financial Constraints and Distress Cost,” with John R. Birge.

Abstract: As an integrated part of a supply contract, trade credit has intrinsic connections to supply chain contracting and inventory management. Using a stylized model that formulates firms' inventory decisions, financing decisions and the costs of financial distress explicitly, the paper tries to develop a deeper understanding of trade credit from an operational perspective. Revolving around the question of what role trade credit plays in financing companies' inventories, we show that with uncertain demand, trade credit enhances supply chain performance and flexibility by serving as a risk-sharing mechanism. An optimal trade credit contract balances the supplier's desire to increase sales and reduce costs of financial distress. Facing a trade credit contract, the retailer finances his inventory using a portfolio of cash, trade credit, and short term debt. The composition of this portfolio is influenced by factors including the amount of internal resources the retailer has and the overall efficiency of the financial market. In addition, our model suggests that financial diversification provides an alternative explanation for the decentralization of some supply chains and the use of factoring in accounts receivable management. Finally, using a sample of firm-level data from Compustat, we find that some inventory financing behaviors that are predicted by the model are exhibited by a wide range of companies.
It is great to work with John, who is not only lightning fast in answering questions and extremely open to new areas, but also so knowledgeable that you suspect he has a built-in Wiki and a unbelievably intelligent search engine.

o “Dynamic Pricing with Strategic Customers and an Information Provider,” with John R. Birge and Dan Adelman.

Abstract: Inspired by surging online services, and especially by a revolutionary website that provides airfare predictions, I propose an open-loop queuing model that captures the strategic behavior of customers resulting from the use of such services. While providing a novel way of looking at dynamic pricing problems, this model is complicated by the invisible pool formed by strategic customers. I formulate this problem as a partially observable Markov decision process (POMDP), which is notoriously difficult to solve. I establish certain structures of this program, and design an approximation algorithm to solve it. Numerical results suggest that ignoring customers’ behavior leads to significant loss of revenue. In response to customers’ behavior, the seller should adopt a pricing policy that generates lower fluctuations in price trajectories.
Working with Dan is fun. So many brainstorming afternoons and surprise calls from time to time. I hope one day I could be like him, with a set of tools so powerful and delicate that everybody admires.

Experience

o The University of Chicago Booth School of Business, Chicago, IL, 2005 - Present
PhD Student

Grad school is fun. If I could do it all over again, I probably will spend less time wandering around different topics, and stay more focused. Yet if there is any competition for PhD students with most courses taken, or most TA sections done, I think I should at least get nominated (Detailed list available upon request).
I will never forget my first time talking a Nobel laureate (At seventeen, I was given some precious suggestions by Samuel C. C. Ting after being defeated in a major high school science competition.) But not until I came to Chicago, after listening to Gary Becker’s explanation of why girls do better in college and Roger Myerson’s Lagrangian analysis did I realized that they are not only great, but also adorable.

o Citadel Investment Group, Chicago, IL, 2007
Summer Associate, Portfolio Constraint Group

Given the confidentiality agreement, I probably shouldn’t say much. Let’s just say I am glad I was here when some of the craziest things in the financial market happened during that summer. Fifty years from now, when my grandson, who just learns the great “subprime crisis” at college, asks me: “What did you do during that morning when the treasury yield curve moved six standard deviations away?” Instead of saying, “Well, I was looking for shopping deals with your grandma”, I’d say, “Yes, I remembered that day, I was busy working on the stress test scenario for the credit desk.” (You know where it comes from, my great respect to General Patton and George Scott.)
I’d definitely miss the food (three meals a day! Plus snacks, fruits, and drinks all day long) and the gym (the best! If they can add a pool, it will be heaven). Highly recommended to singles who love to work.

o XO Capital Group, Chicago, IL, 2006
Quantitative Trading Researcher

Probably the only financial firm considering SHORTS as the standard dressing code
Small organizations are always more fun. Learning directly from the CEO every day is a luxury.

o United Air Line Inc., Elk Grove, IL, 2005
Senior Analyst

My first real job. Learnt so much from my colleagues.
Man, Oh, Man, I miss the employee travel benefit!

o IE/MS Department, Northwestern University, Evanston, IL, 2003 - 2005
PhD Student

A great place to start my grad school, where people are so considerate, especially to someone like me who couldn’t speak fluent English.
My first touch on stochastic systems and suddenly fell into love with her, her power and beauty. I am sure we will spend some more quality time together.

o Freelance Motivational Speaker, All over China, 1999 - 2006

It is fun to travel around over the country, yet more fun to talk to youths from different background, share my experience and ideas (many of which are developed during this process).
Still open for hiring or volunteer works. Yet after graduate schools, I am afraid most of my jokes will be too nerdy to attract broad audiences.

o …Too old to remember… yet I enjoyed every moment when I grew up, even though my mom and some of my elementary school teachers will disagree.

Something Else You May Want to Know

Among all the amazing things happened to me, my family is the most important. My Mom, besides running a busy home and cooking the most delicious (at least home-made) food in the world, is a frequent stock trader (strangely, using technical analysis, she somehow managed to run a portfolio with very low market correlation). My dad, an electrical engineer turned college lecturer, influences my career choice in many levels. We also share our interests in photography, while his primary focus is Macro and scenery, and I am desperate to improve my Portrait shoot. Angela, my love, ``full of charisma and spunk” (directly quoted from a friend), is a corporate lawyer busy finding balance between Wall Street rescuing and Fifth Ave. shopping. My uncle, the first MBA in the family, with great entrepreneurship, just started a small business of his own (http://www.aurismodel.com/). Last but not the least, Shasha, our family dog, is more like my parents’ daughter and my sister, given the famous single-child policy in China.

My friends, from whom I learned so much, and shared so much, are working all over the world right now. If you’d like to know more of them, join my Facebook (songayang@gmail.com), or LinkedIn (syang1@chicagobooth.edu). I also update my Chinese blog at MSN Space from time to time, through which many of my Chinese-reading friends are linked. Feel free to stop by.

Outside my “real” research, (Chinese) history is my favorite subject. For me, it is especially interesting when you can connect it with different models, for instance, how Wang Anshi’s New Policies can be used in supply chain coordination? And what Zhang Juzheng’s Reform teaches us about moral hazard? Also, how we can use ideas from approximate dynamic programming to explain the role religious play in human history? Maybe one day, I will write a book (or at least some papers) on those topics.

I was born and brought up at Beijing, China, less than one mile from the Temple of Heaven, my favorite childhood playground and one of the greatest architectures of all time. That means I add (subconsciously) more ``er” at the end of words (either in Chinese or English), and the pronunciation is more suited for a stand-up comedian than for a poet. After finishing college, I came to Chicago, which I consider as my second hometown. The beautiful skyline, the great Lake Michigan, and the fabulous (yet not so healthy) deep-dish pizza, and all the other fun. I will miss them for sure if I have to leave in the future.

I love watching almost all sports, and play some of them when I have time: Swimming (my favorite since I was four years old. My idols, with no doubt, are the Super Phelps and the less versatile yet equally great Kosuke Kitajima), Basketball (Once upon a time, I was hoping to become an all-round power forward as Charles Barkley or Anthony Mason. Yet when I stopped growing at 5’10’’, I knew my ``professional career” is over. Now I mainly enjoy it out of the court. Go, Ming Dynasty!), Tennis (bad backhand, horrible serve), Sailing (still a rookie, yet we had some great time, and hopefully we will have more in the future.), Weight-lifting and Running (at first it just helps me control my weight, now it just makes me happy and becomes a necessity of my daily life)

I am fond of traveling, within a feasible region bounded by time and financial constrains. Angela and I have travel over many National Parks across the lower 48 states in US, and we look forward to visiting Alaska in the near future (depending on how my job hunting goes). I also dream of a tour that traces back the human civilization. For that, Egypt will be a perfect starting point. (``The Two Rivers” will also be great, yet due to obvious reasons, it probably has to be delayed.)

Food, another ultimate love of mine. Chinese cuisine, with no doubt, is my all time favorite (and it always amazes me how bad the authentic Chinese food is promoted in the States. Man, how hard it is to find a real Peking Duck! At this point, I believe Dr. Kissinger will agree with me.) In spite of that, I enjoy great food all over the world, from the heavy Luger Burger to light Japanese food, from the elegant Jean George to the shabby yet delicious Kabob stand in certain street corner of Manhattan, I love them all. Among them, the new fusion cuisine interests me the most (You can probably tell my taste from my research interests, let’s mix them all!). Whenever you get the chance, I’d recommend you try out Alinea at Chicago. Even though it costs about two week’s rent and a zillion calls to make a reservation, still worth it. As the menu called, it is not just a meal, it is a JOURNEY. I also enjoyed cooking, which also shares a lot of resemblance with research. There is certain technicality that one needs to master. But above that, it’s all creativity.

Last updated: Oct 25^th, 2009