NANXIAHUI, China—A missing Chinese billionaire who did business with the highest echelons of the Communist Party has previously undisclosed ties to China’s military.

Firms linked to Beijing’s formidable arms-trading conglomerate, China Poly Group Corp., executed at least three recent transactions involving the billionaire, Xiao Jianhua, including a $10 million donation to Harvard University, according to corporate filings and interviews with people familiar with the transactions.

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