Personal Information:
Professor Supervisor of Doctorate Candidates graduate teacher
Paper Publications
- [1]Optimal Tracking Portfolio with a Ratcheting Capital Benchmark.SIAM Journal on Control and Optimization.2021,59(3):2346-2380
- [2]Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching.SIAM Journal on Control and Optimization.2019,57(1):366-401
- [3]Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios.Finance and Stochastics.2014,18(2):431-482
- [4]Optimal Investment of Variance-Swaps in Jump-Diffusion Market with Regime-Switching.Journal of Economic Dynamics and Control.2017,83:175-197
- [5]Portfolio Choice with Market-Credit Risk Dependencies.SIAM Journal on Control and Optimization
- [6]OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK.MATHEMATICAL FINANCE.2016,26(4):785-834
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