Chun Wang

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

3

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CITATIONS
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Top 36,332

in Total Papers Citations

14

Scholarly Papers (3)

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: 21 Feb 2017
Ningyuan Chen, Steven Kou and Chun Wang
University of Toronto at Mississauga - Department of Management, Boston University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 478 (58,248)
Citation 4

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 Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 341 (86,980)
Citation 5

Abstract:

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

3.

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 Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Abstract:

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portfolio execution, sub-optimal control, martingale duality