Tim Leung

Publication Activity (10 Years)

Years Active: 2007-2021
Publications (10 Years): 12

Top Topics

Portfolio Optimization

Stochastic Control

Top Venues

IEEE Intell. Syst.

Risk Decis. Anal.

Finance Stochastics

Publications

Tim Leung, Yang Zhou
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model. ACC (2021)
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
Sparse mean-reverting portfolios via penalized likelihood optimization. Autom. 111 (2020)
Longbing Cao, George Yuan, Tim Leung, Wei Zhang
Special Issue on AI and FinTech: The Challenge Ahead. IEEE Intell. Syst. 35 (2) (2020)
Tim Leung, Yang Zhou
A Stochastic Control Approach to Futures Trading with Regime Switching. ACC (2020)
Longbing Cao, George Yuan, Tim Leung, Wei Zhang
Special Issue on AI and FinTech: The Challenge Ahead. IEEE Intell. Syst. 35 (3) (2020)
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
A Relaxed Optimization Approach for Cardinality-Constrained Portfolios. ECC (2019)
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation. CDC (2018)
Tim Leung, Zongxi Li
Timing options for a startup with early termination and competition risks. Risk Decis. Anal. 6 (2) (2017)
Jinbeom Kim, Tim Leung
Pricing derivatives with counterparty risk and collateralization: A fixed point approach. Eur. J. Oper. Res. 249 (2) (2016)
Jinbeom Kim, Tim Leung
Impact of risk aversion and belief heterogeneity on trading of defaultable claims. Ann. Oper. Res. 243 (1-2) (2016)
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models. SIAM J. Control. Optim. 53 (4) (2015)
Tim Leung, Haohua Wan
ESO Valuation with Job Termination Risk and Jumps in Stock Price. SIAM J. Financial Math. 6 (1) (2015)
Tim Leung, Xin Li, Zheng Wang
Optimal starting-stopping and switching of a CIR process with fixed costs. Risk Decis. Anal. 5 (2-3) (2014)
Tim Leung, Qingshuo Song, Jie Yang
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing. Finance Stochastics 17 (4) (2013)
Tim Leung
Sequential static-Dynamic Hedging for Long-term Derivatives. ICCS (2012)
Tim Leung, Mike Ludkovski
Optimal Timing to Purchase Options. SIAM J. Financial Math. 2 (1) (2011)
Tim Leung, Ronnie Sircar
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation. SIAM J. Control. Optim. 48 (3) (2009)
Tim Leung, Tom Carroll, May Hung, Albert Tsang, Walter Chung
The Carroll-Hung method for component reliability mapping in aircraft maintenance. Qual. Reliab. Eng. Int. 23 (1) (2007)