Courses

Mathematical Finance, Investment, Financial Derivatives

Research Interests

Operations research: optimization models and algorithms

Financial engineering: portfolio management and algorithmic trading

Research Grants

Models and algorithms of distressed asset selling in China’s security market, National Natural Science Foundation of China, 72171012, PI, 2022/01- 2025/12

Algorithms and applications of large-scale sparse quadratic programs, National Natural Science Foundation of China, 11801023, PI, 2019/01- 2021/12

Selected Publications

Investment risk management

J. Chen, L. Feng, J. Peng, Y. Ye (2014) Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact. Operations Research 62(1):195-206.

Portfolio optimization

J. Chen, G. Dai, N. Zhang (2020) An application of sparse-group lasso regularization to equity portfolio optimization and sector selection. Annals of Operations Research 284:243-262.

C. Edirisinghe, J. Chen, J. Jeong (2023) Optimal Leveraged Portfolio Selection Under Quasi-Elastic Market Impact. Operations Research 71(5):1558-1576.

Algorithmic trading

J Chen, L Feng, J Peng, Y Zhang (2023) Optimal portfolio execution with a Markov chain approximation approach. IMA Journal of Management Mathematics 34(1): 165–186.