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Professor Supervisor of Doctorate Candidates Supervisor of Master's Candidates
Scientific Research
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Paper Publications
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- Optimal Tracking Portfolio with a Ratcheting Capital Benchmark.[J]:SIAM Journal on Control and Optimization,2021,59(3):2346-2380
- Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching.[J]:SIAM Journal on Control and Optimization,2019,57(1):366-401
- Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios.[J]:Finance and Stochastics,2014,18(2):431-482
- Optimal Investment of Variance-Swaps in Jump-Diffusion Market with Regime-Switching.[J]:Journal of Economic Dynamics and Control,2017,83:175-197
- Portfolio Choice with Market-Credit Risk Dependencies.[J]:SIAM Journal on Control and Optimization
- Bo, Lijun^Capponi, Agostino,OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK:MATHEMATICAL FINANCE,2016,26(4):785-834
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