harry zheng
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Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan
Y Dong, H Zheng
European Journal of Operational Research 281 (2), 341-356, 2020
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
Y Dong, H Zheng
Insurance: Mathematics and Economics 85, 47-59, 2019
Necessary conditions for optimal control problems with state constraints
R Vinter, H Zheng
Transactions of the American Mathematical Society 350 (3), 1181-1204, 1998
The extended Euler--Lagrange condition for nonconvex variational problems
R Vinter, H Zheng
SIAM journal on control and optimization 35 (1), 56-77, 1997
Basket CDS pricing with interacting intensities
H Zheng, L Jiang
Finance and stochastics 13, 445-469, 2009
Generalized conjugate points for optimal control problems
PD Loewen, H Zheng
Nonlinear Analysis: Theory, Methods & Applications 22 (6), 771-791, 1994
A maximum principle for optimal control problems with mixed constraints
MDR De Pinho, RB Vinter, H Zheng
IMA Journal of Mathematical Control and Information 18 (2), 189-205, 2001
Smooth value functions for a class of nonsmooth utility maximization problems
B Bian, S Miao, H Zheng
SIAM Journal on Financial Mathematics 2 (1), 727-747, 2011
Basket options valuation for a local volatility jump–diffusion model with the asymptotic expansion method
G Xu, H Zheng
Insurance: Mathematics and Economics 47 (3), 415-422, 2010
Turnpike property and convergence rate for an investment model with general utility functions
B Bian, H Zheng
Journal of Economic Dynamics and Control 51, 28-49, 2015
Interaction of credit and liquidity risks: Modelling and valuation
H Zheng
Journal of Banking & Finance 30 (2), 391-407, 2006
Approximate basket options valuation for a jump-diffusion model
G Xu, H Zheng
Insurance: Mathematics and Economics 45 (2), 188-194, 2009
On modeling credit defaults: A probabilistic Boolean network approach
JW Gu, WK Ching, TK Siu, H Zheng
Risk and decision analysis 4 (2), 119-129, 2013
Jump liquidity risk and its impact on CVaR
H Zheng, Y Shen
The Journal of Risk Finance 9 (5), 477-492, 2008
Optimal dividend strategies of two collaborating businesses in the diffusion approximation model
JW Gu, M Steffensen, H Zheng
Mathematics of Operations Research 43 (2), 377-398, 2018
Efficient frontier of utility and CVaR
H Zheng
Mathematical Methods of Operations Research 70, 129-148, 2009
Weak necessary and sufficient stochastic maximum principle for markovian regime-switching diffusion models
Y Li, H Zheng
Applied Mathematics & Optimization 71, 39-77, 2015
Utility-deviation-risk portfolio selection
KC Wong, SCP Yam, H Zheng
SIAM Journal on Control and Optimization 55 (3), 1819-1861, 2017
On pricing basket credit default swaps
JW Gu, WK Ching, TK Siu, H Zheng
Quantitative Finance 13 (12), 1845-1854, 2013
Necessary conditions for Free end-time, measurably time dependent optimal control problems with state constraints
RB Vinter, H Zheng
Set-Valued Analysis 8, 11-29, 2000
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