Harry Zheng

According to our database, Harry Zheng authored at least 30 papers between 1998 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Optimal Investment, Heterogeneous Consumption, and Best Time for Retirement.

Hyun Jin Jang, Zuo Quan Xu, Harry Zheng

Oper. Res., 2024

2023

Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control.

Engel John C. Dela Vega, Harry Zheng

J. Optim. Theory Appl., October, 2023

Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation.

Jialiang Luo, Harry Zheng

Dyn. Games Appl., September, 2023

Portfolio Selection, Periodic Evaluations and Risk Taking.

Alex S. L. Tse, Harry Zheng

Oper. Res., 2023

2022

Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty.

Dong-Mei Zhu, Harry Zheng

J. Optim. Theory Appl., 2022

2021

Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems.

Tianxiao Wang, Harry Zheng

SIAM J. Control. Optim., 2021

Dynamic Equilibrium of Market Making with Price Competition.

Jialiang Luo, Harry Zheng

Dyn. Games Appl., 2021

2020

Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation.

Jia-Wen Gu, Shijing Si, Harry Zheng

SIAM J. Control. Optim., 2020

Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model.

Jingtang Ma, Wenyuan Li, Harry Zheng

Eur. J. Oper. Res., 2020

Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan.

Yinghui Dong, Harry Zheng

Eur. J. Oper. Res., 2020

Deep Learning for Constrained Utility Maximisation.

Ashley Davey, Harry Zheng

CoRR, 2020

2019

Dynamic Portfolio Optimization with Looping Contagion Risk.

Longjie Jia, Martijn Pistorius, Harry Zheng

SIAM J. Financial Math., 2019

Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems.

Jingtang Ma, Jie Xing, Harry Zheng

SIAM J. Control. Optim., 2019

2018

Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations.

Yusong Li, Harry Zheng

SIAM J. Control. Optim., 2018

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model.

Jia-Wen Gu, Mogens Steffensen, Harry Zheng

Math. Oper. Res., 2018

2017

Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk.

Yao Tung Huang, Qingshuo Song, Harry Zheng

SIAM J. Financial Math., 2017

On infectious model for dependent defaults.

Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng

Risk Decis. Anal., 2017

Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization.

Jingtang Ma, Wenyuan Li, Harry Zheng

Eur. J. Oper. Res., 2017

2014

On reduced-form intensity-based model with 'trigger' events.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng

J. Oper. Res. Soc., 2014

On pricing and hedging basket credit derivatives with dependent structure.

Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Harry Zheng

Proceedings of the IEEE Conference on Computational Intelligence for Financial Engineering & Economics, 2014

A hidden Markov reduced-form risk model.

Jia-Wen Gu, Wai-Ki Ching, Harry Zheng

Proceedings of the IEEE Conference on Computational Intelligence for Financial Engineering & Economics, 2014

2013

On modeling credit defaults: A probabilistic Boolean network approach.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng

Risk Decis. Anal., 2013

2011

Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems.

Baojun Bian, Sheng Miao, Harry Zheng

SIAM J. Financial Math., 2011

Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization.

Nicholas Westray, Harry Zheng

Finance Stochastics, 2011

The Valuation of the Basket CDS in a Primary-Subsidiary Model.

Jianwei Lin, Gechun Liang, Sen Wu, Harry Zheng

Asia Pac. J. Oper. Res., 2011

2009

Efficient frontier of utility and CVaR.

Harry Zheng

Math. Methods Oper. Res., 2009

Basket CDS pricing with interacting intensities.

Harry Zheng, Lishang Jiang

Finance Stochastics, 2009

2007

Macaulay durations for nonparallel shifts.

Harry Zheng

Ann. Oper. Res., 2007

2002

The duration derby: a comparison of duration based strategies in asset liability management.

Harry Zheng, Lyn C. Thomas, David Edmund Allen

Proceedings of the 41st IEEE Conference on Decision and Control, 2002

1998

Qualitative Sensitivity Analysis in Monotropic Programming.

Antoine Gautier, Frieda Granot, Harry Zheng

Math. Oper. Res., 1998