Acedemic positions:
2020.08 -- present Associate professor, Xiamen University
2016.08 -- 2020.08 Assistant professor, Xiamen University
Research interest:
Portfolio selection; Optimization; Dynamic programming; Quantitative finance; Statistics
Education:
Ph.D. in Mathematical Engineering, Universida Carlos III de Madrid, 2016;
M.S. in mathematical Engineering, Universidad Carlos III de Madrid, 2011;
B.S. in Applied Mathematics, Beijing Normal University, 2009
1. Multiperiod portfolio optimization with multiple risky assets and general transaction costs (with Victor DeMiguel and Javier Nogales), Journal of Banking & Finance, 2016
2. Portfolio selection with proportional transaction costs and predictability (with Javier Nogales), Journal of Banking & Finance, 2018
3. Precision matrix estimation under data contamination with an application to minimum variance portfolio selection (with Vahe Avagyan), Communications in Statistics - Simulation and Computation, 2019
4. Mean-variance portfolio selection with estimation risk and transaction costs (with Huanjun Zhu and Chongzhu Chen), Applied Economics, 2022
5. Variable selection in heterogeneous panel data models with cross-sectional dependence (with Bin Peng and Huanjun Zhu), Australian & New zealand Journal of Statistics, 2023
6. Bayesian nonparametric portfolio selection with rolling maximum drawdown control (with Yachong Wang and Weixuan Zhu), Quantitave Finance, 2023
1. 福建省自然科学基金青年项目 - 基于凸交易成本的动态投资组合模型，2019-2022
2. 国家自然科学基金青年项目 - 考虑交易成本的高维动态投资优化模型，2020-2022
