Works (32)

2020 journal article

A Sustainable Quantitative Stock Selection Strategy Based on Dynamic Factor Adjustment

SUSTAINABILITY, 12(10).

By: Y. Fu, S. Cao & T. Pang

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

Source: Web Of Science
Added: March 10, 2020

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

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

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 & K. Varga

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).

By: H. Peng, T. Pang, F. Cao & J. Zhao

Source: NC State University Libraries
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 & C. Karan

Source: NC State University Libraries
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 & J. Cong

Source: NC State University Libraries
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 & A. Hussain

Source: NC State University Libraries
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

Source: NC State University Libraries
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 & T. Pang

Source: Crossref
Added: July 28, 2019

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

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

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 & A. Hussain

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, Y. Yang & D. Zhao

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 & M. Pemy

Source: NC State University Libraries
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 & Y. Yang

Source: NC State University Libraries
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 & M. Pemy

Source: NC State University Libraries
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

Source: NC State University Libraries
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 & M. Pemy

Source: NC State University Libraries
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 & M. Pemy

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

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

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

Source: NC State University Libraries
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

Source: NC State University Libraries
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

Source: Crossref
Added: July 28, 2019