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Jiawen Gu

Southern University of Science and Technology

No 1088, xueyuan Rd.

Xili, Nanshan District

Shenzhen, Guangdong 518055

China

  • Southern University of Science and Technology

SCHOLARLY PAPERS

8

DOWNLOADS

1,385

TOTAL CITATIONS

6

Scholarly Papers (8)

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1.

Optimal Pairs Trading Strategies: a Stochastic Mean-Variance Approach

Number of pages: 16 Posted: 06 Dec 2021
Fenghui Yu, Wai-Ki Ching, Chufang WU and Jiawen Gu
affiliation not provided to SSRN, The University of Hong Kong - Department of Mathematics, The University of Hong Kong - Department of Mathematics and Southern University of Science and Technology
Downloads 555 (123,884)

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Pairs Trading, Mean-variance analysis, Time inconsistency, Dynamic optimality, Ornstein-Uhlenbeck (OU) process

2.

Optimal Investment for a DC Pension Plan under VaR Regulations and Minimum Insurance with Inflation Risk

Downloads 149 (371,583)

Optimal Investment for a DC Pension Plan under VaR Regulations and Minimum Insurance with Inflation Risk

Number of pages: 36 Posted: 10 Jan 2022
Chufang WU, Jiawen Gu, Wai-Ki Ching and Chi Chiu So
The University of Hong Kong - Department of Mathematics, Southern University of Science and Technology, The University of Hong Kong - Department of Mathematics and The University of Hong Kong
Downloads 149 (497,016)

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DC pension plans, Intermediate-time risk measure, Value-at-Risk, Portfolio insurance, Inflation risk.

3.

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model

Mathematics of Operations Research
Number of pages: 32 Posted: 28 Jan 2016 Last Revised: 26 Feb 2017
Jiawen Gu, Mogens Steffensen and Harry Zheng
Southern University of Science and Technology, University of Copenhagen and Imperial College London - Mathematical Finance
Downloads 201 (378,726)

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Optimal Dividends Strategy, Diffusion Model, Collaborating Businesses, Stochastic Control.

4.

Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation

SIAM Journal on Control and Optimization, 2020, Vol. 58, No. 2 : pp. 866-894
Number of pages: 30 Posted: 30 May 2019 Last Revised: 01 Apr 2020
Jiawen Gu, Shijing Si and Harry Zheng
Southern University of Science and Technology, Duke University and Imperial College London - Mathematical Finance
Downloads 136 (540,814)

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utility deviation-risk optimization; stochastic risk aversion; incomplete market; control constraint; time-consistent dynamic programming equation

5.

Precommitted Strategies with Initial-time and Intermediate-time VaR Constraints

Number of pages: 36 Posted: 18 Oct 2021 Last Revised: 17 Jun 2022
Chufang WU, Jiawen Gu and Wai-Ki Ching
The University of Hong Kong - Department of Mathematics, Southern University of Science and Technology and The University of Hong Kong - Department of Mathematics
Downloads 107 (654,668)

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Expected utility maximization, Intermediate-time risk measure, Precommitted strategy, Value-at-Risk

6.

Optimal Portfolio Liquidation and Dynamic Mean-Variance Criterion

Number of pages: 18 Posted: 09 Nov 2015
Jiawen Gu and Mogens Steffensen
Southern University of Science and Technology and University of Copenhagen
Downloads 103 (674,591)
Citation 2

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7.

On Correlated Defaults and Incomplete Information

Number of pages: 21 Posted: 01 Oct 2019
Wai-Ki Ching, Jiawen Gu and Harry Zheng
The University of Hong Kong - Department of Mathematics, Southern University of Science and Technology and Imperial College London - Mathematical Finance
Downloads 72 (860,052)
Citation 1

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Defaults, Brownian Motions, Incomplete Information, Intensity Models

8.

A Note on P- vs. Q-Expected Loss Portfolio Constraints

Number of pages: 15 Posted: 19 Mar 2019
Jiawen Gu, Mogens Steffensen and Harry Zheng
Southern University of Science and Technology, University of Copenhagen and Imperial College London - Mathematical Finance
Downloads 62 (942,565)
Citation 3

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Optimal Portfolio, Expected Loss Constraint, Physical Measure P, Risk- Neutral Measure Q, Q-Strategy Fulfi lling P-Risk Constraint