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2020 – today
- 2024
[j26]Hyun Jin Jang
, Zuo Quan Xu, Harry Zheng:
Optimal Investment, Heterogeneous Consumption, and Best Time for Retirement. Oper. Res. 72(2): 832-847 (2024)- 2023
- [j25]Jialiang Luo, Harry Zheng:
Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation. Dyn. Games Appl. 13(3): 859-896 (2023) - [j24]Alex S. L. Tse, Harry Zheng:
Portfolio Selection, Periodic Evaluations and Risk Taking. Oper. Res. 71(6): 2078-2091 (2023) - [j23]Engel John C. Dela Vega, Harry Zheng:
Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control. J. Optim. Theory Appl. 199(1): 80-111 (2023) - 2022
- [j22]Dong-Mei Zhu, Harry Zheng:
Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty. J. Optim. Theory Appl. 194(1): 191-219 (2022) - 2021
- [j21]Jialiang Luo, Harry Zheng:
Dynamic Equilibrium of Market Making with Price Competition. Dyn. Games Appl. 11(3): 556-579 (2021) - [j20]Tianxiao Wang, Harry Zheng:
Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems. SIAM J. Control. Optim. 59(5): 3152-3178 (2021) - 2020
- [j19]Jingtang Ma, Wenyuan Li, Harry Zheng:
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model. Eur. J. Oper. Res. 280(2): 428-440 (2020) - [j18]Yinghui Dong, Harry Zheng:
Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan. Eur. J. Oper. Res. 281(2): 341-356 (2020) - [j17]Jia-Wen Gu, Shijing Si, Harry Zheng:
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation. SIAM J. Control. Optim. 58(2): 866-894 (2020) - [i1]Ashley Davey, Harry Zheng:
Deep Learning for Constrained Utility Maximisation. CoRR abs/2008.11757 (2020)
2010 – 2019
- 2019
- [j16]Jingtang Ma, Jie Xing, Harry Zheng:
Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems. SIAM J. Control. Optim. 57(3): 2092-2121 (2019) - [j15]Longjie Jia, Martijn Pistorius, Harry Zheng:
Dynamic Portfolio Optimization with Looping Contagion Risk. SIAM J. Financial Math. 10(1): 1-36 (2019) - 2018
- [j14]Jia-Wen Gu, Mogens Steffensen, Harry Zheng:
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model. Math. Oper. Res. 43(2): 377-398 (2018) - [j13]Yusong Li, Harry Zheng:
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations. SIAM J. Control. Optim. 56(2): 1130-1153 (2018) - 2017
- [j12]Jingtang Ma, Wenyuan Li, Harry Zheng:
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization. Eur. J. Oper. Res. 262(3): 851-862 (2017) - [j11]Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng:
On infectious model for dependent defaults. Risk Decis. Anal. 6(4): 249-261 (2017) - [j10]Yao Tung Huang, Qingshuo Song, Harry Zheng:
Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk. SIAM J. Financial Math. 8(1): 1-27 (2017) - 2014
- [j9]Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng:
On reduced-form intensity-based model with 'trigger' events. J. Oper. Res. Soc. 65(3): 331-339 (2014) - [c3]Jia-Wen Gu, Wai-Ki Ching, Harry Zheng:
A hidden Markov reduced-form risk model. CIFEr 2014: 190-196 - [c2]Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Harry Zheng:
On pricing and hedging basket credit derivatives with dependent structure. CIFEr 2014: 435-440 - 2013
- [j8]Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng:
On modeling credit defaults: A probabilistic Boolean network approach. Risk Decis. Anal. 4(2): 119-129 (2013) - 2011
- [j7]Jianwei Lin, Gechun Liang, Sen Wu, Harry Zheng:
The Valuation of the Basket CDS in a Primary-Subsidiary Model. Asia Pac. J. Oper. Res. 28(2): 213-238 (2011) - [j6]Nicholas Westray, Harry Zheng:
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization. Finance Stochastics 15(3): 501-512 (2011) - [j5]Baojun Bian, Sheng Miao, Harry Zheng:
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems. SIAM J. Financial Math. 2(1): 727-747 (2011)
2000 – 2009
- 2009
- [j4]Harry Zheng, Lishang Jiang:
Basket CDS pricing with interacting intensities. Finance Stochastics 13(3): 445-469 (2009) - [j3]Harry Zheng:
Efficient frontier of utility and CVaR. Math. Methods Oper. Res. 70(1): 129-148 (2009) - 2007
- [j2]Harry Zheng:
Macaulay durations for nonparallel shifts. Ann. Oper. Res. 151(1): 179-191 (2007) - 2002
- [c1]Harry Zheng, Lyn C. Thomas, David Edmund Allen:
The duration derby: a comparison of duration based strategies in asset liability management. CDC 2002: 769-774
1990 – 1999
- 1998
- [j1]Antoine Gautier, Frieda Granot, Harry Zheng:
Qualitative Sensitivity Analysis in Monotropic Programming. Math. Oper. Res. 23(3): 695-707 (1998)
Coauthor Index
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