Harry Zheng

Available identifiers

zbMath Open zheng.harry-hMaRDI QIDQ255502

List of research outcomes

Publication	Date of Publication	Type
Portfolio Selection, Periodic Evaluations and Risk Taking	2024-03-15	Paper
Duality for optimal consumption with randomly terminating income	2023-09-28	Paper
Deep neural network solution for finite state mean field game with error estimation	2023-09-27	Paper
Speculative trading, prospect theory and transaction costs	2022-12-28	Paper
Stochastic maximum principle for optimal liquidation with control-dependent terminal time	2022-09-12	Paper
Deep learning for constrained utility maximisation	2022-07-07	Paper
Obituary	2022-07-06	Paper
Dynamic convex duality in constrained utility maximization	2022-07-05	Paper
Effective approximation methods for constrained utility maximization with drift uncertainty	2022-06-03	Paper
Dynamic equilibrium of market making with price competition	2021-12-27	Paper
Optimal market-making strategies under synchronised order arrivals with deep neural networks	2021-11-16	Paper
Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems	2021-09-22	Paper
Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs	2021-07-16	Paper
On correlated defaults and incomplete information	2021-06-09	Paper
A note on - vs. -expected loss portfolio constraints	2021-06-02	Paper
Optimal Liquidation in a Mean-reverting Portfolio	2020-10-06	Paper
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation	2020-03-25	Paper
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model	2020-03-12	Paper
Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan	2019-11-06	Paper
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model	2019-09-18	Paper
Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems	2019-08-30	Paper
Turnpike property and convergence rate for an investment and consumption model	2019-06-18	Paper
Dynamic Portfolio Optimization with Looping Contagion Risk	2019-05-14	Paper
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance	2019-03-28	Paper
On infectious model for dependent defaults	2019-03-12	Paper
Turnpike property and convergence rate for an investment model with general utility functions	2018-11-15	Paper
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations	2018-04-05	Paper
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization	2017-12-06	Paper
Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk	2017-01-11	Paper
Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact	2016-09-30	Paper
Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing	2016-03-09	Paper
Asymptotic analysis for target asset portfolio allocation with small transaction costs	2016-01-05	Paper
Constrained nonsmooth utility maximization on the positive real line	2015-07-30	Paper
Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk	2015-05-30	Paper
Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models	2015-04-21	Paper
Intensity process for a pure jump Lévy structural model with incomplete information	2015-02-27	Paper
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization	2014-12-17	Paper
On modeling credit defaults: A probabilistic Boolean network approach	2014-08-22	Paper
LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS	2014-04-25	Paper
On pricing basket credit default swaps	2014-03-04	Paper
Contagion models a la carte: which one to choose?	2014-02-08	Paper
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems	2012-04-19	Paper
Approximate basket options valuation for a jump-diffusion model	2012-02-10	Paper
Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method	2012-02-10	Paper
THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL	2011-05-11	Paper
Convergence in the Semimartingale Topology and Constrained Portfolios	2011-03-30	Paper
Basket CDS pricing with interacting intensities	2010-04-22	Paper
Efficient frontier of utility and CVaR	2009-09-09	Paper
Constrained nonsmooth utility maximization without quadratic inf convolution	2009-05-06	Paper
Macaulay durations for nonparallel shifts	2008-03-31	Paper
Qualitative Sensitivity Analysis in Monotropic Programming	2001-11-26	Paper
https://portal.mardi4nfdi.de/entity/Q4250851	1999-09-23	Paper
The Extended Euler--Lagrange Condition for Nonconvex Variational Problems	1997-08-27	Paper
Epi-Derivatives of Integral Functionals with Applications	1995-10-17	Paper

Research outcomes over time

Doctoral students

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