个人简历

ACADEMIC EXPERIENCE\r
Associate Professor 2018- Present\r
Beihang University,Beijing, China\r
Assistant Professor 2014- 2018\r
Singapore University of Technology and Design, Singapore\r
Graduate Research/ Teaching Assistant 2010 - 2014\r
University ofIllinois at Urbana-Champaign, Urbana, IL, USA\r
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EDUCATION\r
University of Illinois at Urbana-Champaign (2010-2014)\r
Ph.D., Industrialand Enterprise Systems Engineering\r
Dissertation:“Optimal Deleveraging and Liquidation of Financial Portfolios with Market Impact”\r
Dalian University of Technology, Dalian, China (2006-2010)\r
B.S., Applied Mathematics

研究领域

"Management Science

近期论文

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.\r
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(Morgan Stanley Prize for Excellence in Financial Markets, First Runner-up)\r
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Chen, J., L. Feng, and J. Peng. 2015.“Optimal deleveraging with nonlinear temporary price impact.”European Journal of Operational Research,224 (1) : 240-247.\r
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Chen, J., M. Flood, and R. Sowers. 2017.“Measuring the unmeasurable: an application of uncertainty quantification tofinancial portfolios.”Quantitative Finance,17 (10) : 1491-1507.\r
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Chen, J., L. Feng, and J. Peng. 2016.“Optimal portfolio liquidation with a Markov chain approximation approach.”Underreview.\r
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(INFORMS Financial Services Section Best Student Research Paper, Winner)\r
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Yang, Y., S. D. Ahipasaoglu, and J. Chen.2016. “On the robustness and sparsity trade-off in mean-variance portfolio selection.”Under review.\r
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(Yufei Yang is the finalist of INFORMS Financial Services Section Best Student Research Paper)\r
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Chen, J. and J. Zhang. 2016. “Optimal asset liquidation under cross-asset price impact.”Under review.\r
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Mitchell, D. and J. Chen. 2016. “Market or limit orders?”Under review.\r
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Edirisinghe, C., J. Chen, and J. Jeong.2017. “Risk-adjusted returns and leverage efficiency under market impact:effect of trade dynamics.”Under review.\r
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Zhen, F. and J. Chen. 2017.“Mean-variance-skewness portfolio optimization.”Under review.\r
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Chen, J. and N. Zhang. 2017. “An Application of Sparse-Group Regularization to Equity Portfolio Optimization andSector Selection.”Under review.\r
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Zhang, N. and J. Chen. 2016.“Distributionally robust portfolio optimization with sparsity.”Underreview.\r
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Chen, J., L. Feng, and J. Peng. 2016.“Optimal liquidation of financial derivatives.”To be submitted.\r
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Chen, J. and Y. Zhang. 2017. “Asian option pricing under a jump-diffusion model.”To be submitted.\r
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Chen, J. and Y. Zhang. 2017. “Optimal execution under a jump-diffusion model.”Work in progress.
JOURNAL REVIEWER
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)