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

RESEARCH AREA

Management Science, Operations Research, Finance/Financial Engineering

Applications:Portfolio Management Algorithmic Trading Risk Management

Methodologies:Optimization Dynamic Programming Stochastic Modeling

PUBLICATIONS

•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.

TEACHING EXPERIENCE

•Instructor: Finance Theory, MathematicalFinance, Modeling the Systems World, Quality and Reliability

•Teaching Assistant: Statistical Methods in Finance, Stochastic Calculus in Finance

PRESENTATIONS

•“Market or Limit Orders?” Vision Forum,Beihang University, Beijing, China, 05/23/2017

•“Portfolio Management under Market Impact and Leverage Constraint,” Chinese University of Hongkong at Shenzhen,School of Science and Engineering, 05/19/2017.

•“Market or Limit Orders?” SIAM Conferenceon Financial Mathematics and Engineering,Invited Session: Portfolio Trading and Limit Order Book,Austin, Texas, 11/19/2016

•“Optimal Portfolio Trading and Limit OrderBook,” National University of Singapore, Risk Management Institute, Singapore,10/17/2016

•“Optimal Portfolio Deleveraging underCross-Asset Price Impact,” International Conference on Continuous Optimization,Session Chair: Optimal Decision Making under Financial Distress,Tokyo,Japan, 08/09/2016

•“Optimal Portfolio Liquidation with a Markov Chain Approximation Approach,” INFORMS Annual Meeting,Session Chair:Optimal Portfolio Management and Execution, San Francisco, California,11/10/2014

•“Optimal Portfolio Deleveraging and Liquidation,” Research Institute of Shanghai Stock Exchange, Shanghai, China,08/04/2014

•“Optimal Portfolio Liquidation underFinancial Distress,” Singapore University of Technology and Design, Engineering Systems and Design, Singapore, 02/19/2014

•“Optimal Portfolio Liquidation underFinancial Distress,” Stanford University, Department of Management Science andEngineering, Stanford, California, 01/16/2014

•“Optimal Portfolio Liquidation with aMarkov Chain Approach,” INFORMS Annual Meeting,Financial Service Section:Student Paper Competition, Minneapolis, Minnesota, 10/07/2013

•“Optimal Portfolio Deleveraging with MarketImpact,” Euro-Informs Joint International Meeting,Invited Session:Portfolio Optimization, Rome, Italy, 07/03/2013

•“Optimal Portfolio Deleveraging with MarketImpact,” Morgan Stanley, New York City, New York, 12/12/2012

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

RESEARCHGRANTS

•Optimal Portfolio Management underFinancial Distress Risk •MOE Academic Research Fund Tier 1. Principal Investigator (2017-2019).Total value: SGD $102,754.

•Optimal portfolio management and execution•Startup Research Grant.Singapore University of Technology and Design. Principal Investigator(2014-2017). Total value: SGD $100,000.

PROFESSIONALSERVICES

JOURNALREVIEWER

Management Science,Mathematical Finance, Quantitative Finance, European Journal of Operational Research, Operations Research Letters

MEMBERSHIP

Institute for Operations Research and the Management Sciences (INFORMS), Society for Industrialand Applied Mathematics (SIAM), American Finance Association (AFA)

FACULTY ADVISOR

Market watch Trading Club, CFA Institute Research Challenge