Peng-Chu Chen

The University of Hong Kong

Pokfulam Road

Hong Kong, Pokfulam HK

China

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 45,102

SSRN RANKINGS

Top 45,102

in Total Papers Downloads

1,509

SSRN CITATIONS
Rank 30,354

SSRN RANKINGS

Top 30,354

in Total Papers Citations

21

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Disruption and Rerouting in Supply Chain Networks

Number of pages: 68 Posted: 12 Sep 2020 Last Revised: 20 May 2022
John R. Birge, Agostino Capponi and Peng-Chu Chen
University of Chicago - Booth School of Business, Columbia University and The University of Hong Kong
Downloads 520 (77,980)
Citation 1

Abstract:

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supply chain networks, disruption risk, contingent rerouting, secondary markets, systemic risk.

2.

Liability Concentration and Systemic Losses in Financial Networks

Operations Research, Forthcoming
Number of pages: 33 Posted: 05 Jun 2016
Agostino Capponi, Peng-Chu Chen and David Yao
Columbia University, The University of Hong Kong and Columbia University
Downloads 382 (111,772)
Citation 9

Abstract:

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systemic risk, financial network, interbank liabilities, majorization

3.

Systemic Risk Mitigation in Financial Networks

Forthcoming in Journal of Economic Dynamics and Control
Number of pages: 38 Posted: 16 Jul 2013 Last Revised: 05 Jun 2016
Agostino Capponi and Peng-Chu Chen
Columbia University and The University of Hong Kong
Downloads 331 (130,873)
Citation 10

Abstract:

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Systemic risk, mitigation strategies, clearing payments, financial networks

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 26 Sep 2015 Last Revised: 19 Oct 2017
Lijun Bo, Agostino Capponi and Peng-Chu Chen
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 252 (172,476)
Citation 2

Abstract:

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Fixed income investment, default decay, dynamic programming, parabolic PDEs

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Vol. 29, Issue 1, pp. 137-173, 2019
Number of pages: 37 Posted: 11 Jan 2019
Lijun Bo, Agostino Capponi and Peng-Chu Chen
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 1 (956,135)

Abstract:

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decay of default intensities, dynamic programming, fixed‐income investment, parabolic PDEs

5.

Out-of-sample Performance-based Estimation of Expected Returns for Portfolio Selection

Number of pages: 50 Posted: 26 Aug 2022
Peng-Chu Chen and Yan Wang
The University of Hong Kong and The University of Hong Kong
Downloads 23 (692,129)

Abstract:

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portfolio selection, expected return estimation, estimation error, Bayes, Gibbs sampler, data augmentation, synthetic data