Works (43)

Updated: April 5th, 2024 03:46

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*

author keywords: Agricultural green technology; Outsourcing; Land scale; Government subsidies
UN Sustainable Development Goal Categories
2. Zero Hunger (OpenAlex)
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*

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 n & 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

author keywords: Dual-channel farming supply chain; quality levels; horizontal cooperation and competition; production effort; quality investment
UN Sustainable Development Goal Categories
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*

author keywords: Contract-farming; yield insurance; green technology; risk-averse
UN Sustainable Development Goal Categories
1. No Poverty (Web of Science)
2. Zero Hunger (Web of Science)
13. Climate Action (Web of Science)
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
UN Sustainable Development Goal Categories
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*

author keywords: US treasury yield curves; Dynamic Nelson-Siegel model; Random level shift (RLS); Forecasting
UN Sustainable Development Goal Categories
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*

author keywords: Contract-farming; yield uncertainty; yield insurance; capital constraint; risk-averse
TL;DR: It is found that, as the degree of the farmer’s risk aversion increases, the farm size decreases, but the yield per unit area and the wholesale price of the agricultural product increases, and thus the total yield increases. (via Semantic Scholar)
UN Sustainable Development Goal Categories
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*

author keywords: contract farming; loan guarantee insurance; yield insurance; capital constraint; premium subsidy
UN Sustainable Development Goal Categories
1. No Poverty (OpenAlex)
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

author keywords: stock selection; machine learning; classification probability prediction; back-testing
TL;DR: Historical back-testing using Chinese stock market data shows that the proposed CPP quantitative stock selection strategy performs better than the traditional machine learning stock selection methods, and it can outperform the market index over the same period in most back- testing periods. (via Semantic Scholar)
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

author keywords: supply chain finance; capital constraint; yield uncertainty; buyback; risk sharing
UN Sustainable Development Goal Categories
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

author keywords: Supply chain; mutual-aid mechanism; advance payment; deferred payment
UN Sustainable Development Goal Categories
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

author keywords: Contract-farming supply chain; Agricultural subsidy policy; Risk-averse; Yield uncertainty
UN Sustainable Development Goal Categories
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*

author keywords: Portfolio optimization; Stochastic volatility; Stochastic yield; HJB equation; Subsolution; Supersolution
UN Sustainable Development Goal Categories
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 n, F. Cao* & J. Zhao*

author keywords: Supply chain channel; mutual subsidy mechanism; price regulation; seasonal product
UN Sustainable Development Goal Categories
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

author keywords: Black-Litterman model; Portfolio optimization; CVaR; Elliptical distribution
UN Sustainable Development Goal Categories
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*

author keywords: Low-carbon; Cap-and-trade; Quantity discount; Revenue sharing; Emission reduction subsidy
UN Sustainable Development Goal Categories
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*

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
UN Sustainable Development Goal Categories
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

TL;DR: This paper develops a computationally feasible and efficient lattice algorithm in pricing American-style options by building a time adjusted grid lattice model and implementing backward induction to price options. (via Semantic Scholar)
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

TL;DR: A stochastic portfolio optimization model in which the returns of risky asset depend on its past performance is considered, and the functional Ito’s formula is used to derive the associated HamiltonJacobi-Bellman equation. (via Semantic Scholar)
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

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
TL;DR: This paper studies the convergence of Monte Carlo methods in calculating the option-adjusted spread, effective duration (DUR) and effective convexity (CNVX) of MBS instruments, and defines two new concepts, absolute convergence and relative convergence, and shows that practitioners can reduce the computational time substantially without sacrificing simulation accuracy. (via Semantic Scholar)
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*

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*

author keywords: stochastic delay equations; optimal stochastic control; Hamilton-Jacobi-Bellman equation
TL;DR: This paper considers a portfolio management problem of Merton's type in which the risky asset return is related to the return history and derives explicit solutions in a finite dimensional space. (via Semantic Scholar)
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*

author keywords: Black-Scholes equation; finite difference; stochastic functional differential equations; viscosity solutions
TL;DR: Under a general condition on the payoff function of the option, it is shown that the pricing function is the unique viscosity solution of the infinite dimensional Black-Scholes equation. (via Semantic Scholar)
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
TL;DR: An optimal stopping problem for stochastic differential equations with random coefficients with Hamiltion-Jacobi-Bellman equation is considered, and well-posedness of such a BSPDVI is established, and a verification theorem is proved. (via Semantic Scholar)
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*

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*

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

author keywords: Portfolio optimization; dynamic programming equations; subsolution and supersolutions
UN Sustainable Development Goal Categories
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

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*

author keywords: portfolio optimization; dynamic programming equations; subsolutions; supersolutions
TL;DR: A portfolio optimization problem which is formulated as a stochastic control problem, the subsolution-supersolution method is used to obtain existence of solutions of the DPE, and the solutions are used to derive the optimal investment and consumption policies. (via Semantic Scholar)
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

author keywords: portfolio optimization; dynamic programming equations; subsolutions and supersolutions
UN Sustainable Development Goal Categories
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*

UN Sustainable Development Goal Categories
7. Affordable and Clean Energy (OpenAlex)
Source: Crossref
Added: July 28, 2019

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