Tao Pang

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

FINANCIAL INNOVATION, 9(1).

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.

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.

A simple and robust approach for expected shortfall estimation

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

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

ECONOMIC MODELLING, 94, 340–350.

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

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

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.

A Sustainable Quantitative Stock Selection Strategy Based on Dynamic Factor Adjustment

SUSTAINABILITY, 12(10).

FINANCING STRATEGIES FOR A CAPITAL-CONSTRAINED SUPPLIER UNDER YIELD UNCERTAINTY

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

Supply chain coordination under financial constraints and yield uncertainty

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

A mutual-aid mechanism for supply chains with capital constraints

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

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

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

Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility

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

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

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

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

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

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

JOURNAL OF CLEANER PRODUCTION, 205, 291–302.

A stochastic portfolio optimization model with complete memory

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

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

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

AN INFINITE TIME HORIZON PORTFOLIO OPTIMIZATION MODEL WITH DELAYS

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

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

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

An efficient grid lattice algorithm for pricing American-style options

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

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).

CVA Wrong Way Risk Multiplier Decomposition and Efficient CVA Curve

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

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

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

GARCH Models for Credit Risk and Market Risk of Relative Returns

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

Optimal Investment and Consumption for Portfolios with Stochastic Dividends

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

A Stochastic Investment Model on Finite Time Horizon

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

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

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

A Stochastic Portfolio Optimization Model with Bounded Memory

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

An approximation scheme for Black-Scholes equations with delays

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

OPTIMAL STOPPING PROBLEM FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS

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

Finite difference approximation for stochastic optimal stopping problems with delays

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

Finite difference approximations for stochastic control systems with delay

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

Optimal control of stochastic functional differential equations with a bounded memory

Stochastics, 80(1), 69–96.

Stochastic optimal control problems with a bounded memory

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

Stochastic portfolio optimization with log utility

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

A stochastic control model of investment, production and consumption

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

An application of stochastic control theory to financial economics

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

Portfolio optimization models on infinite-time horizon

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

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

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