Harry Zheng

Publication Activity (10 Years)

Years Active: 1998-2024
Publications (10 Years): 18

Top Topics

Utility Maximization

Portfolio Selection

Equilibrium Strategies

Top Venues

SIAM J. Control. Optim.

Eur. J. Oper. Res.

J. Optim. Theory Appl.

Publications

Hyun Jin Jang, Zuo Quan Xu, Harry Zheng
Optimal Investment, Heterogeneous Consumption, and Best Time for Retirement. Oper. Res. 72 (2) (2024)
Engel John C. Dela Vega, Harry Zheng
Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control. J. Optim. Theory Appl. 199 (1) (2023)
Alex S. L. Tse, Harry Zheng
Portfolio Selection, Periodic Evaluations and Risk Taking. Oper. Res. 71 (6) (2023)
Jialiang Luo, Harry Zheng
Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation. Dyn. Games Appl. 13 (3) (2023)
Dong-Mei Zhu, Harry Zheng
Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty. J. Optim. Theory Appl. 194 (1) (2022)
Tianxiao Wang, Harry Zheng
Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems. SIAM J. Control. Optim. 59 (5) (2021)
Jialiang Luo, Harry Zheng
Dynamic Equilibrium of Market Making with Price Competition. Dyn. Games Appl. 11 (3) (2021)
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) (2020)
Jia-Wen Gu, Shijing Si, Harry Zheng
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation. SIAM J. Control. Optim. 58 (2) (2020)
Ashley Davey, Harry Zheng
Deep Learning for Constrained Utility Maximisation. CoRR (2020)
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) (2020)
Longjie Jia, Martijn Pistorius, Harry Zheng
Dynamic Portfolio Optimization with Looping Contagion Risk. SIAM J. Financial Math. 10 (1) (2019)
Jingtang Ma, Jie Xing, Harry Zheng
Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems. SIAM J. Control. Optim. 57 (3) (2019)
Jia-Wen Gu, Mogens Steffensen, Harry Zheng
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model. Math. Oper. Res. 43 (2) (2018)
Yusong Li, Harry Zheng
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations. SIAM J. Control. Optim. 56 (2) (2018)
Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng
On infectious model for dependent defaults. Risk Decis. Anal. 6 (4) (2017)
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) (2017)
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) (2017)
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) (2014)
Jia-Wen Gu, Wai-Ki Ching, Harry Zheng
A hidden Markov reduced-form risk model. CIFEr (2014)
Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Harry Zheng
On pricing and hedging basket credit derivatives with dependent structure. CIFEr (2014)
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) (2013)
Baojun Bian, Sheng Miao, Harry Zheng
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems. SIAM J. Financial Math. 2 (1) (2011)
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) (2011)
Nicholas Westray, Harry Zheng
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization. Finance Stochastics 15 (3) (2011)
Harry Zheng, Lishang Jiang
Basket CDS pricing with interacting intensities. Finance Stochastics 13 (3) (2009)
Harry Zheng
Efficient frontier of utility and CVaR. Math. Methods Oper. Res. 70 (1) (2009)
Harry Zheng
Macaulay durations for nonparallel shifts. Ann. Oper. Res. 151 (1) (2007)
Antoine Gautier, Frieda Granot, Harry Zheng
Qualitative Sensitivity Analysis in Monotropic Programming. Math. Oper. Res. 23 (3) (1998)