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Works (44)
Updated: July 31st, 2024 05:04
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.
author keywords: Agricultural green technology; Outsourcing; Land scale; Government subsidies
UN Sustainable Development Goal Categories
2. Zero Hunger
(OpenAlex)
12. Responsible Consumption and Production
(Web of Science)
Source: Web Of Science
Added: March 11, 2024
2024 article
RISK MANAGEMENT OF GUARANTEED MINIMUM BENEFITS UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL
Hu, W., & Pang, T. (2024, July). NUMERICAL ALGEBRA CONTROL AND OPTIMIZATION.
author keywords: Variable annuity; guaranteed minimum benefits; regime-switching; jump-diffusion; Fourier space time-stepping
open access via doi.org (publisher)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: July 30, 2024
2023 journal article
Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
FINANCIAL INNOVATION, 9(1).
author keywords: Robust portfolio choice; Detection error probability; Rare events; Ambiguity; Cryptocurrency; Welfare loss
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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.
author keywords: Green supply chain; power structure; corporate social responsibility; corporate environmental responsibility; greenness level
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
Source: Web Of Science
Added: June 12, 2023
2023 journal article
Optimal strategies for green supply chains with competition between green and traditional suppliers
RAIRO-OPERATIONS RESEARCH, 58(1), 511–534.
author keywords: Green supply chain; yield uncertainty; green preference; supplier competition; greenness level
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
Source: Web Of Science
Added: March 4, 2024
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.
author keywords: Dual-channel farming supply chain; quality levels; horizontal cooperation and competition; production effort; quality investment
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
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.
author keywords: Contract-farming; yield insurance; green technology; risk-averse
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(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.
author keywords: expected shortfall; tail-based normal approximation; conditional skewness; tail-weight adjustment; heavy-tailed distribution; small sample
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: November 8, 2021
2021 journal article
Optimal strategies for a capital constrained contract-farming supply chain with yield insurance
RAIRO-OPERATIONS RESEARCH, 55(2), 521–544.
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
12. Responsible Consumption and Production
(Web of Science)
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.
author keywords: contract farming; loan guarantee insurance; yield insurance; capital constraint; premium subsidy
UN Sustainable Development Goal Categories
1. No Poverty
(OpenAlex)
12. Responsible Consumption and Production
(Web of Science)
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).
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)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: July 13, 2020
2020 journal article
Forecasting US Yield Curve Using the Dynamic Nelson-Siegel Model with Random Level Shift Parameters
ECONOMIC MODELLING, 94, 340–350.
author keywords: US treasury yield curves; Dynamic Nelson-Siegel model; Random level shift (RLS); Forecasting
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: February 15, 2021
2020 journal article
Supply chain coordination under financial constraints and yield uncertainty
EUROPEAN JOURNAL OF INDUSTRIAL ENGINEERING, 14(6), 782–812.
author keywords: supply chain finance; capital constraint; yield uncertainty; buyback; risk sharing
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
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.
author keywords: Supply chain; mutual-aid mechanism; advance payment; deferred payment
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
Source: Web Of Science
Added: October 7, 2019
2019 journal article
FINANCING STRATEGIES FOR A CAPITAL-CONSTRAINED SUPPLIER UNDER YIELD UNCERTAINTY
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 16(2), 887–909.
author keywords: Supply chain finance; capital constraint; yield uncertainty; advance payment; risk compensation
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
Source: Web Of Science
Added: March 10, 2020
2019 journal article
Optimal strategies for a three-level contract-farming supply chain with subsidy
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 216, 274–286.
author keywords: Contract-farming supply chain; Agricultural subsidy policy; Risk-averse; Yield uncertainty
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
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.
author keywords: Portfolio optimization; Stochastic volatility; Stochastic yield; HJB equation; Subsolution; Supersolution
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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).
author keywords: Supply chain channel; mutual subsidy mechanism; price regulation; seasonal product
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
Source: Web Of Science
Added: December 31, 2018
2018 journal article
Coordination contracts for a supply chain with yield uncertainty and low-carbon preference
JOURNAL OF CLEANER PRODUCTION, 205, 291–302.
author keywords: Low-carbon; Cap-and-trade; Quantity discount; Revenue sharing; Emission reduction subsidy
UN Sustainable Development Goal Categories
12. Responsible Consumption and Production
(Web of Science)
Source: Web Of Science
Added: November 26, 2018
2017 journal article
A closed-form solution of the Black-Litterman model with conditional value at risk
OPERATIONS RESEARCH LETTERS, 46(1), 103–108.
author keywords: Black-Litterman model; Portfolio optimization; CVaR; Elliptical distribution
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
2017 journal article
A stochastic portfolio optimization model with complete memory
STOCHASTIC ANALYSIS AND APPLICATIONS, 35(4), 742–766.
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.
author keywords: credit value adjustment (CVA); wrong-way risk (WWR); right-way risk; correlation approach; parametric approach
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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.
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.
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.
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).
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
author keywords: Portfolio optimization; dynamic programming equations; subsolution and supersolutions
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Crossref
Added: December 16, 2019
2004 journal article
A stochastic control model of investment, production and consumption
Quarterly of Applied Mathematics, 63(1), 71–87.
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.
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)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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.
author keywords: portfolio optimization; dynamic programming equations; subsolutions and supersolutions
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
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.
UN Sustainable Development Goal Categories
7. Affordable and Clean Energy
(OpenAlex)
Source: Crossref
Added: July 28, 2019
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