Works (43)

Updated: March 13th, 2024 05:02

2024 article

Green technology outsourcing for agricultural supply chains with government subsidies

Shi, L., Pang, T., Peng, H., & Feng, X. (2024, January 10). JOURNAL OF CLEANER PRODUCTION, Vol. 436.

By: L. Shi*, T. Pang n, H. Peng * & X. Feng *

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Agricultural green technology; Outsourcing; Land scale; Government subsidies
Source: Web Of Science
Added: March 11, 2024

2024 journal article

Optimal strategies for green supply chains with competition between green and traditional suppliers

RAIRO-OPERATIONS RESEARCH, 58(1), 511–534.

By: J. Cong, T. Pang* & H. Peng

author keywords: Green supply chain; yield uncertainty; green preference; supplier competition; greenness level
Source: Web Of Science
Added: March 4, 2024

2023 journal article

Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets

FINANCIAL INNOVATION, 9(1).

By: W. Lv*, T. Pang n, X. Xia* & J. Yan *

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Robust portfolio choice; Detection error probability; Rare events; Ambiguity; Cryptocurrency; Welfare loss
Source: Web Of Science
Added: April 24, 2023

2023 article

OPTIMAL STRATEGIES FOR GREEN SUPPLY CHAIN CONSIDERING SOCIAL RESPONSIBILITY AND ENVIRONMENTAL RESPONSIBILITY

Cong, J., Pang, T., & Peng, H. (2023, April). JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION.

By: J. Cong, T. Pang* & H. Peng

author keywords: Green supply chain; power structure; corporate social responsibility; corporate environmental responsibility; greenness level
Source: Web Of Science
Added: June 12, 2023

2022 article

Optimal Strategies for A Dual-Channel Farming Supply Chain with Horizontal Competition and Cooperation

Peng, H., Sun, W., & Pang, T. (2022, April 26). ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH.

By: H. Peng *, W. Sun* & T. Pang n

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Dual-channel farming supply chain; quality levels; horizontal cooperation and competition; production effort; quality investment
Source: Web Of Science
Added: September 12, 2022

2022 article

Production and green technology investment strategy for contract-farming supply chain under yield insurance

Shi, L., Pang, T., & Peng, H. (2022, February 4). JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY.

By: L. Shi*, T. Pang n & H. Peng *

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Contract-farming; yield insurance; green technology; risk-averse
Source: Web Of Science
Added: March 14, 2022

2021 journal article

A simple and robust approach for expected shortfall estimation

JOURNAL OF COMPUTATIONAL FINANCE, 25(1), 77–107.

By: Z. Pan, T. Pang* & Y. Zhao

author keywords: expected shortfall; tail-based normal approximation; conditional skewness; tail-weight adjustment; heavy-tailed distribution; small sample
Source: Web Of Science
Added: November 8, 2021

2021 journal article

Forecasting US Yield Curve Using the Dynamic Nelson-Siegel Model with Random Level Shift Parameters

ECONOMIC MODELLING, 94, 340–350.

By: D. Luo *, T. Pang n & J. Xu *

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: US treasury yield curves; Dynamic Nelson-Siegel model; Random level shift (RLS); Forecasting
Source: Web Of Science
Added: February 15, 2021

2021 journal article

Optimal strategies for a capital constrained contract-farming supply chain with yield insurance

RAIRO-OPERATIONS RESEARCH, 55(2), 521–544.

By: L. Shi*, T. Pang n & H. Peng *

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Contract-farming; yield uncertainty; yield insurance; capital constraint; risk-averse
Source: Web Of Science
Added: April 26, 2021

2021 article

Optimal strategies of contract-farming supply chain under the cooperative mode of bank-insurance: loan guarantee insurance versus yield insurance

Shi, L., Pang, T., & Peng, H. (2021, August 30). INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH.

By: L. Shi*, T. Pang n & H. Peng *

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: contract farming; loan guarantee insurance; yield insurance; capital constraint; premium subsidy
Source: Web Of Science
Added: September 7, 2021

2020 journal article

A Sustainable Quantitative Stock Selection Strategy Based on Dynamic Factor Adjustment

SUSTAINABILITY, 12(10).

By: Y. Fu *, S. Cao * & T. Pang n

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: stock selection; machine learning; classification probability prediction; back-testing
Source: Web Of Science
Added: July 13, 2020

2020 journal article

FINANCING STRATEGIES FOR A CAPITAL-CONSTRAINED SUPPLIER UNDER YIELD UNCERTAINTY

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 16(2), 887–909.

By: H. Peng & T. Pang*

author keywords: Supply chain finance; capital constraint; yield uncertainty; advance payment; risk compensation
Source: Web Of Science
Added: March 10, 2020

2020 journal article

Supply chain coordination under financial constraints and yield uncertainty

EUROPEAN JOURNAL OF INDUSTRIAL ENGINEERING, 14(6), 782–812.

By: H. Peng * & T. Pang n

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: supply chain finance; capital constraint; yield uncertainty; buyback; risk sharing
Source: Web Of Science
Added: February 22, 2021

2019 journal article

A mutual-aid mechanism for supply chains with capital constraints

INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT, 14(4), 304–312.

By: H. Peng * & T. Pang n

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Supply chain; mutual-aid mechanism; advance payment; deferred payment
Source: Web Of Science
Added: October 7, 2019

2019 journal article

Optimal strategies for a three-level contract-farming supply chain with subsidy

INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 216, 274–286.

By: H. Peng * & T. Pang n

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Contract-farming supply chain; Agricultural subsidy policy; Risk-averse; Yield uncertainty
Source: Web Of Science
Added: October 14, 2019

2019 journal article

Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 182(2), 691–729.

By: T. Pang n & K. Varga

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: Portfolio optimization; Stochastic volatility; Stochastic yield; HJB equation; Subsolution; Supersolution
Source: Web Of Science
Added: July 8, 2019

2018 journal article

A Mutual Subsidy Mechanism for a Seasonal Product Supply Chain Channel Under Double Price Regulation

ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH, 35(6).

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Supply chain channel; mutual subsidy mechanism; price regulation; seasonal product
Source: Web Of Science
Added: December 31, 2018

2018 journal article

A closed-form solution of the Black-Litterman model with conditional value at risk

OPERATIONS RESEARCH LETTERS, 46(1), 103–108.

By: T. Pang n & C. Karan n

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: Black-Litterman model; Portfolio optimization; CVaR; Elliptical distribution
Source: Web Of Science
Added: August 6, 2018

2018 journal article

Coordination contracts for a supply chain with yield uncertainty and low-carbon preference

JOURNAL OF CLEANER PRODUCTION, 205, 291–302.

By: H. Peng *, T. Pang n & J. Cong*

co-author countries: China πŸ‡¨πŸ‡³ United States of America πŸ‡ΊπŸ‡Έ
author keywords: Low-carbon; Cap-and-trade; Quantity discount; Revenue sharing; Emission reduction subsidy
Source: Web Of Science
Added: November 26, 2018

2017 journal article

A stochastic portfolio optimization model with complete memory

STOCHASTIC ANALYSIS AND APPLICATIONS, 35(4), 742–766.

By: T. Pang n & A. Hussain *

co-author countries: Pakistan πŸ‡΅πŸ‡° United States of America πŸ‡ΊπŸ‡Έ
author keywords: Portfolio optimization; Hamilton-Jacobi-Bellman equation; dynamic programming; stochastic delay equation
Source: Web Of Science
Added: August 6, 2018

2017 journal article

On the correlation and parametric approaches to calculation of credit value adjustment

JOURNAL OF RISK MODEL VALIDATION, 11(3), 49–67.

By: T. Pang*, W. Chen & L. Li

author keywords: credit value adjustment (CVA); wrong-way risk (WWR); right-way risk; correlation approach; parametric approach
Source: Web Of Science
Added: August 6, 2018

2016 journal article

AN INFINITE TIME HORIZON PORTFOLIO OPTIMIZATION MODEL WITH DELAYS

MATHEMATICAL CONTROL AND RELATED FIELDS, 6(4), 629–651.

By: T. Pang* & A. Hussain

author keywords: Portfolio optimization; Hamilton-Jacobi-Bellman equation; dynamic programming; stochastic control; stochastic delay equation
Source: Web Of Science
Added: August 6, 2018

2016 journal article

An Empirical Analysis of the Impact of the Internet Finance on Money Market

Contemporary Economic Management, 38(7), 84–93.

By: P. Wu, Y. Yao & T. Pang

Source: NC State University Libraries
Added: September 8, 2019

2016 journal article

An efficient grid lattice algorithm for pricing American-style options

International Journal of Financial Markets and Derivatives, 5(1), 36.

By: Z. Liu n & T. Pang n

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
Source: Crossref
Added: July 28, 2019

2015 chapter

An Application of Functional Ito's Formula to Stochastic Portfolio Optimization with Bounded Memory

In 2015 Proceedings of the Conference on Control and its Applications (pp. 159–166).

By: T. Pang n & A. Hussain  n

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
Source: Crossref
Added: July 28, 2019

2015 journal article

CVA Wrong Way Risk Multiplier Decomposition and Efficient CVA Curve

Journal of Risk Management in Financial Institutions, 8(4), 390–404.

By: T. Pang, W. Chen & L. Li

Source: NC State University Libraries
Added: July 28, 2019

2015 journal article

Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities

International Journal of Financial Studies, 3(2), 136–150.

By: T. Pang n, Y. Yang * & D. Zhao

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: Monte Carlo method; mortgage-backed securities (MBS); coefficient of variation (CV); absolute convergence; relative convergence; option-adjusted spread (OAS); effective duration (DUR); effective convexity (CNVX); Greeks
Source: Crossref
Added: July 28, 2019

2015 journal article

GARCH Models for Credit Risk and Market Risk of Relative Returns

Journal of Finance and Management Research, 1(1), 19–38.

By: T. Pang & S. Yang

Source: NC State University Libraries
Added: July 28, 2019

2015 journal article

Optimal Investment and Consumption for Portfolios with Stochastic Dividends

Journal of Finance and Management Research, 1(2), 1–22.

By: T. Pang & K. Varga

Source: NC State University Libraries
Added: July 11, 2019

2014 journal article

A Stochastic Investment Model on Finite Time Horizon

Research on Finance and Management, 2(1), 1–26.

By: T. Pang

Source: NC State University Libraries
Added: July 11, 2019

2012 journal article

Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory

STOCHASTIC ANALYSIS AND APPLICATIONS, 30(6), 1102–1135.

By: M. Chang, T. Pang n & M. Pemy*

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: Optimal stopping; Stochastic control; Stochastic functional differential equations
Source: Web Of Science
Added: August 6, 2018

2011 journal article

A Stochastic Portfolio Optimization Model with Bounded Memory

MATHEMATICS OF OPERATIONS RESEARCH, 36(4), 604–619.

By: M. Chang*, T. Pang n & Y. Yang *

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: stochastic delay equations; optimal stochastic control; Hamilton-Jacobi-Bellman equation
Source: Web Of Science
Added: August 6, 2018

2010 journal article

An approximation scheme for Black-Scholes equations with delays

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 23(3), 438–455.

By: M. Chang, T. Pang n & M. Pemy*

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: Black-Scholes equation; finite difference; stochastic functional differential equations; viscosity solutions
Source: Web Of Science
Added: August 6, 2018

2009 journal article

OPTIMAL STOPPING PROBLEM FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 48(2), 941–971.

By: M. Chang, T. Pang* & J. Yong

author keywords: optimal stopping; random coefficients; dynamic programming principle; backward stochastic partial differential variational inequality; verification theorem
Source: Web Of Science
Added: August 6, 2018

2008 journal article

Finite difference approximation for stochastic optimal stopping problems with delays

Journal of Industrial and Management Optimization, 4(2), 227–246.

By: M. Chang, T. Pang* & M. Pemy

Source: NC State University Libraries
Added: August 6, 2018

2008 journal article

Finite difference approximations for stochastic control systems with delay

STOCHASTIC ANALYSIS AND APPLICATIONS, 26(3), 451–470.

By: M. Chang*, T. Pang n & M. Pemy*

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: finite difference approximation; stochastic control; stochastic functional differential equations; viscosity solutions
Source: Web Of Science
Added: August 6, 2018

2008 journal article

Optimal control of stochastic functional differential equations with a bounded memory

Stochastics, 80(1), 69–96.

By: M. Chang*, T. Pang n & M. Pemy*

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: Stochastic control; Stochastic functional differential equations; Viscosity solutions; Hamilton-Jacobi-Bellman equation
Source: Crossref
Added: July 28, 2019

2006 journal article

Stochastic optimal control problems with a bounded memory

Operations Research and Its Applications, Lecture Notes in Operations Research, 6, 82–94.

By: M. Chang, T. Pang & M. Pemy

Source: NC State University Libraries
Added: July 28, 2019

2006 journal article

Stochastic portfolio optimization with log utility

International Journal of Theoretical and Applied Finance, 9(6), 869–887.

By: T. Pang n

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: Portfolio optimization; dynamic programming equations; subsolution and supersolutions
Source: Crossref
Added: December 16, 2019

2005 journal article

A stochastic control model of investment, production and consumption

Quarterly of Applied Mathematics, 63(1), 71–87.

By: W. Fleming* & T. Pang n

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

An application of stochastic control theory to financial economics

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 43(2), 502–531.

By: W. Fleming* & T. Pang*

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: portfolio optimization; dynamic programming equations; subsolutions; supersolutions
Source: Web Of Science
Added: August 6, 2018

2004 journal article

Portfolio optimization models on infinite-time horizon

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 122(3), 573–597.

By: T. Pang n

co-author countries: United States of America πŸ‡ΊπŸ‡Έ
author keywords: portfolio optimization; dynamic programming equations; subsolutions and supersolutions
Source: Web Of Science
Added: August 6, 2018

1999 journal article

Global Smooth Solutions and Large Time Behavior of the One-Dimensional Navier–Stokes Equations

Journal of Mathematical Analysis and Applications, 235(2), 395–417.

By: T. Pang*

co-author countries: China πŸ‡¨πŸ‡³
Source: Crossref
Added: July 28, 2019

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