Lijun Bo

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 13

Top Topics

Asset Management

Portfolio Optimization

Diffusion Models

Top Venues

SIAM J. Control. Optim.

Math. Oper. Res.

Oper. Res. Lett.

Finance Stochastics

Publications

Lijun Bo, Yijie Huang, Xiang Yu, Tingting Zhang
Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy. CoRR (2024)
Lijun Bo, Agostino Capponi, Chao Zhou
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors. Math. Oper. Res. 48 (1) (2023)
Lijun Bo, Agostino Capponi, Huafu Liao
Large Sample Mean-Field Stochastic Optimization. SIAM J. Control. Optim. 60 (4) (2022)
Lijun Bo, Huafu Liao, Xiang Yu
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark. SIAM J. Control. Optim. 59 (3) (2021)
Lijun Bo, Huafu Liao, Xiang Yu
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. SIAM J. Control. Optim. 57 (1) (2019)
Lijun Bo, Agostino Capponi
Portfolio Choice with Market-Credit-Risk Dependencies. SIAM J. Control. Optim. 56 (4) (2018)
John R. Birge, Lijun Bo, Agostino Capponi
Risk-Sensitive Asset Management and Cascading Defaults. Math. Oper. Res. 43 (1) (2018)
Lijun Bo, Agostino Capponi
Optimal Credit Investment with Borrowing Costs. Math. Oper. Res. 42 (2) (2017)
Lijun Bo, Yongjin Wang
The pricing of basket options: A weak convergence approach. Oper. Res. Lett. 45 (2) (2017)
Lijun Bo, Agostino Capponi
Robust Optimization of Credit Portfolios. Math. Oper. Res. 42 (1) (2017)
Lijun Bo, Agostino Capponi
Optimal Investment Under Information Driven Contagious Distress. SIAM J. Control. Optim. 55 (2) (2017)
Lijun Bo, Shihua Wang
Optimal investment and risk control for an insurer with stochastic factor. Oper. Res. Lett. 45 (3) (2017)
Lijun Bo, Agostino Capponi
Systemic Risk in Interbanking Networks. SIAM J. Financial Math. 6 (1) (2015)
Lijun Bo, Agostino Capponi
Bilateral credit valuation adjustment for large credit derivatives portfolios. Finance Stochastics 18 (2) (2014)
Lijun Bo
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps. Queueing Syst. Theory Appl. 73 (1) (2013)
Lijun Bo, Chen Hao
First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers. J. Appl. Probab. 49 (4) (2012)
Lijun Bo, Chenggui Yuan
A note on stability in distribution of Markov-modulated stochastic differential equations with reflection. Comput. Math. Appl. 61 (10) (2011)
Lijun Bo, Lidong Zhang, Yongjin Wang
On the first passage times of reflected O-U processes with two-sided barriers. Queueing Syst. Theory Appl. 54 (4) (2006)