Steven Kou

Publication Activity (10 Years)

Years Active: 2013-2023
Publications (10 Years): 12

Top Topics

Markov Decision Process

Utility Maximization

Financial Crisis

Partitioning Algorithm

Top Venues

Math. Oper. Res.

INFORMS J. Comput.

Publications

Ningyuan Chen, Pin Gao, Steven Kou
Does the Prohibition of Trade-Through Hurt Liquidity Demanders? Oper. Res. 71 (5) (2023)
Min Dai, Steven Kou, H. Mete Soner, Chen Yang
Leveraged Exchange-Traded Funds with Market Closure and Frictions. Manag. Sci. 69 (4) (2023)
Min Dai, Steven Kou, Shuaijie Qian, Xiangwei Wan
Nonconcave Utility Maximization with Portfolio Bounds. Manag. Sci. 68 (11) (2022)
Min Dai, Steven Kou, Chen Yang
A Stochastic Representation for Nonlocal Parabolic PDEs with Applications. Math. Oper. Res. 47 (3) (2022)
Min Dai, Hanqing Jin, Steven Kou, Yuhong Xu
A Dynamic Mean-Variance Analysis for Log Returns. Manag. Sci. 67 (2) (2021)
Ning Cai, Steven Kou
Econometrics with Privacy Preservation. Oper. Res. 67 (4) (2019)
Steven Kou, Xian Hua Peng, Haowen Zhong
Asset Pricing with Spatial Interaction. Manag. Sci. 64 (5) (2018)
Yingda Song, Ning Cai, Steven Kou
Computable Error Bounds of Laplace Inversion for Pricing Asian Options. INFORMS J. Comput. 30 (4) (2018)
Ningyuan Chen, Steven Kou, Chun Wang
A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Manag. Sci. 64 (2) (2018)
Steven Kou, Cindy Yu, Haowen Zhong
Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis. Manag. Sci. 63 (4) (2017)
Steven Kou, Xian Hua Peng
On the Measurement of Economic Tail Risk. Oper. Res. 64 (5) (2016)
Ning Cai, Yingda Song, Steven Kou
A General Framework for Pricing Asian Options Under Markov Processes. Oper. Res. 63 (3) (2015)
Steven Kou, Xian Hua Peng, Chris C. Heyde
External Risk Measures and Basel Accords. Math. Oper. Res. 38 (3) (2013)