Chun Wang

Tsinghua University, School of Economics and Management

Assistant Professor

Beijing, 100084

China

SCHOLARLY PAPERS

4

DOWNLOADS

864

SSRN CITATIONS
Rank 37,510

SSRN RANKINGS

Top 37,510

in Total Papers Citations

14

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure

Forthcoming in Management Science
Number of pages: 44 Posted: 29 Nov 2013 Last Revised: 16 May 2020
Ningyuan Chen, Steven Kou and Chun Wang
University of Toronto at Mississauga - Department of Management, Boston University and Tsinghua University, School of Economics and Management
Downloads 498 (61,364)
Citation 6

Abstract:

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Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming

2.

Tax-Aware Dynamic Asset Allocation

Number of pages: 30 Posted: 06 Jan 2014 Last Revised: 09 Jan 2016
Imperial College Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Tsinghua University, School of Economics and Management
Downloads 349 (93,666)
Citation 17

Abstract:

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Dynamic asset allocation, taxes, sub-optimal control, duality, information relaxations

3.

A Robust Cycle-Based Policy for Inventory Management with Fixed Ordering Costs

Number of pages: 40 Posted: 10 Jun 2020
Yupeng Chen, Garud Iyengar and Chun Wang
Nanyang Technological University (NTU), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Tsinghua University, School of Economics and Management
Downloads 17 (585,869)

Abstract:

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inventory management, robust optimization, fixed ordering cost, lost sales

4.

Dynamic Portfolio Execution and Information Relaxations

Posted: 10 Sep 2012 Last Revised: 10 Jun 2014
Martin Brendan Haugh and Chun Wang
Imperial College Business School and Tsinghua University, School of Economics and Management

Abstract:

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portfolio execution, sub-optimal control, martingale duality