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2023 journal article
Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
FINANCIAL INNOVATION, 9(1).
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.
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.
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.
2021 journal article
A simple and robust approach for expected shortfall estimation
JOURNAL OF COMPUTATIONAL FINANCE, 25(1), 77β107.
2021 journal article
Forecasting US Yield Curve Using the Dynamic Nelson-Siegel Model with Random Level Shift Parameters
ECONOMIC MODELLING, 94, 340β350.
2021 journal article
Optimal strategies for a capital constrained contract-farming supply chain with yield insurance
RAIRO-OPERATIONS RESEARCH, 55(2), 521β544.
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.
2020 journal article
A Sustainable Quantitative Stock Selection Strategy Based on Dynamic Factor Adjustment
SUSTAINABILITY, 12(10).
2020 journal article
FINANCING STRATEGIES FOR A CAPITAL-CONSTRAINED SUPPLIER UNDER YIELD UNCERTAINTY
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 16(2), 887β909.
2020 journal article
Supply chain coordination under financial constraints and yield uncertainty
EUROPEAN JOURNAL OF INDUSTRIAL ENGINEERING, 14(6), 782β812.
2019 journal article
A mutual-aid mechanism for supply chains with capital constraints
INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT, 14(4), 304β312.
2019 journal article
Optimal strategies for a three-level contract-farming supply chain with subsidy
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 216, 274β286.
2019 journal article
Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 182(2), 691β729.
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).
2018 journal article
A closed-form solution of the Black-Litterman model with conditional value at risk
OPERATIONS RESEARCH LETTERS, 46(1), 103β108.
2018 journal article
Coordination contracts for a supply chain with yield uncertainty and low-carbon preference
JOURNAL OF CLEANER PRODUCTION, 205, 291β302.
2017 journal article
A stochastic portfolio optimization model with complete memory
STOCHASTIC ANALYSIS AND APPLICATIONS, 35(4), 742β766.
2017 journal article
On the correlation and parametric approaches to calculation of credit value adjustment
JOURNAL OF RISK MODEL VALIDATION, 11(3), 49β67.
2016 journal article
AN INFINITE TIME HORIZON PORTFOLIO OPTIMIZATION MODEL WITH DELAYS
MATHEMATICAL CONTROL AND RELATED FIELDS, 6(4), 629β651.
2016 journal article
An Empirical Analysis of the Impact of the Internet Finance on Money Market
Contemporary Economic Management, 38(7), 84β93.
2016 journal article
An efficient grid lattice algorithm for pricing American-style options
International Journal of Financial Markets and Derivatives, 5(1), 36.
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. 159β166).
2015 journal article
CVA Wrong Way Risk Multiplier Decomposition and Efficient CVA Curve
Journal of Risk Management in Financial Institutions, 8(4), 390β404.
2015 journal article
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
International Journal of Financial Studies, 3(2), 136β150.
2015 journal article
GARCH Models for Credit Risk and Market Risk of Relative Returns
Journal of Finance and Management Research, 1(1), 19β38.
2015 journal article
Optimal Investment and Consumption for Portfolios with Stochastic Dividends
Journal of Finance and Management Research, 1(2), 1β22.
2014 journal article
A Stochastic Investment Model on Finite Time Horizon
Research on Finance and Management, 2(1), 1β26.
2012 journal article
Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory
STOCHASTIC ANALYSIS AND APPLICATIONS, 30(6), 1102β1135.
2011 journal article
A Stochastic Portfolio Optimization Model with Bounded Memory
MATHEMATICS OF OPERATIONS RESEARCH, 36(4), 604β619.
2010 journal article
An approximation scheme for Black-Scholes equations with delays
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 23(3), 438β455.
2009 journal article
OPTIMAL STOPPING PROBLEM FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 48(2), 941β971.
2008 journal article
Finite difference approximation for stochastic optimal stopping problems with delays
Journal of Industrial and Management Optimization, 4(2), 227β246.
2008 journal article
Finite difference approximations for stochastic control systems with delay
STOCHASTIC ANALYSIS AND APPLICATIONS, 26(3), 451β470.
2008 journal article
Optimal control of stochastic functional differential equations with a bounded memory
Stochastics, 80(1), 69β96.
2006 journal article
Stochastic optimal control problems with a bounded memory
Operations Research and Its Applications, Lecture Notes in Operations Research, 6, 82β94.
2006 journal article
Stochastic portfolio optimization with log utility
International Journal of Theoretical and Applied Finance, 9(6), 869β887.
2005 journal article
A stochastic control model of investment, production and consumption
Quarterly of Applied Mathematics, 63(1), 71β87.
2004 journal article
An application of stochastic control theory to financial economics
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 43(2), 502β531.
2004 journal article
Portfolio optimization models on infinite-time horizon
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 122(3), 573β597.
1999 journal article
Global Smooth Solutions and Large Time Behavior of the One-Dimensional NavierβStokes Equations
Journal of Mathematical Analysis and Applications, 235(2), 395β417.