Chun Wang

Tsinghua University, School of Economics and Management

Associate Professor

Beijing, 100084

China

SCHOLARLY PAPERS

5

DOWNLOADS

1,111

SSRN CITATIONS
Rank 35,588

SSRN RANKINGS

Top 35,588

in Total Papers Citations

18

CROSSREF CITATIONS

4

Scholarly Papers (5)

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 540 (72,943)
Citation 8

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 368 (114,588)
Citation 18

Abstract:

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

3.

Component Pricing with a Bundle Size Discount

Number of pages: 36 Posted: 16 Feb 2022 Last Revised: 16 May 2022
University of Toronto at Mississauga - Department of Management, National University of Singapore, Tsinghua University - Tsinghua University School of Economics and Management and Tsinghua University, School of Economics and Management
Downloads 123 (314,655)

Abstract:

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bundle pricing, mixed integer programming

4.

Robust Inventory Management: A Cycle-Based Approach

Nanyang Business School Research Paper No. 20-11
Number of pages: 37 Posted: 10 Jun 2020 Last Revised: 12 Aug 2022
Yupeng Chen, Garud Iyengar and Chun Wang
Nanyang Business School, Nanyang Technological University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Tsinghua University, School of Economics and Management
Downloads 80 (415,562)

Abstract:

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

5.

Dynamic Portfolio Execution and Information Relaxations

Posted: 10 Sep 2012 Last Revised: 10 Jun 2014
Martin B. 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