陈靖楠 - 北京航空航天大学

个人简介

ACADEMIC EXPERIENCE Associate Professor 2018- Present Beihang University,Beijing, China Assistant Professor 2014- 2018 Singapore University of Technology and Design, Singapore Graduate Research/ Teaching Assistant 2010 - 2014 University ofIllinois at Urbana-Champaign, Urbana, IL, USA EDUCATION University of Illinois at Urbana-Champaign (2010-2014) Ph.D., Industrialand Enterprise Systems Engineering Dissertation:“Optimal Deleveraging and Liquidation of Financial Portfolios with Market Impact” Dalian University of Technology, Dalian, China (2006-2010) B.S., Applied Mathematics AWARDS ANDHONORS Winner for INFORMS Financial Services Section Best Student ResearchPaper, 2013 First Runner-up for Morgan Stanley Prize for Excellence in Financial Markets, 2012 Arthur Davis Graduate Fellowship,Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, 2012 Graduate with Honor, DalianUniversity of Technology, 2010 National Scholarship, Ministry of Educationof P.R.China, 2008

研究领域

Management Science, Operations Research, Finance/Financial Engineering Applications:Portfolio Management Algorithmic Trading Risk Management Methodologies:Optimization Dynamic Programming Stochastic Modeling

近期论文

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Chen, J., L. Feng, J. Peng, and Y. Ye.2014. “Analytical results and efficient algorithm for optimal deleveraging withmarket impact.”Operations Research,62 (1) : 195-206. (Morgan Stanley Prize for Excellence in Financial Markets, First Runner-up) Chen, J., L. Feng, and J. Peng. 2015.“Optimal deleveraging with nonlinear temporary price impact.”European Journal of Operational Research,224 (1) : 240-247. Chen, J., M. Flood, and R. Sowers. 2017.“Measuring the unmeasurable: an application of uncertainty quantification tofinancial portfolios.”Quantitative Finance,17 (10) : 1491-1507. Chen, J., L. Feng, and J. Peng. 2016.“Optimal portfolio liquidation with a Markov chain approximation approach.”Underreview. (INFORMS Financial Services Section Best Student Research Paper, Winner) Yang, Y., S. D. Ahipasaoglu, and J. Chen.2016. “On the robustness and sparsity trade-off in mean-variance portfolio selection.”Under review. (Yufei Yang is the finalist of INFORMS Financial Services Section Best Student Research Paper) Chen, J. and J. Zhang. 2016. “Optimal asset liquidation under cross-asset price impact.”Under review. Mitchell, D. and J. Chen. 2016. “Market or limit orders?”Under review. Edirisinghe, C., J. Chen, and J. Jeong.2017. “Risk-adjusted returns and leverage efficiency under market impact:effect of trade dynamics.”Under review. Zhen, F. and J. Chen. 2017.“Mean-variance-skewness portfolio optimization.”Under review. Chen, J. and N. Zhang. 2017. “An Application of Sparse-Group Regularization to Equity Portfolio Optimization andSector Selection.”Under review. Zhang, N. and J. Chen. 2016.“Distributionally robust portfolio optimization with sparsity.”Underreview. Chen, J., L. Feng, and J. Peng. 2016.“Optimal liquidation of financial derivatives.”To be submitted. Chen, J. and Y. Zhang. 2017. “Asian option pricing under a jump-diffusion model.”To be submitted. Chen, J. and Y. Zhang. 2017. “Optimal execution under a jump-diffusion model.”Work in progress.