Jingnan Chen

Engineering Systems and Design (ESD)

Jingnan Chen

faculty-jingnan-chen
Title:

Assistant Professor

Tel: +65 6779 5161
Email:
Website: http://people.sutd.edu.sg/~jingnan_chen/

Pillar / Cluster: Engineering Systems and Design 8 Somapah Road Building 1 Level 7 Singapore 487372

Biography

Dr. Chen received her Ph.D. in Industrial Engineering from University of Illinois at Urbana-Champaign. Her research interest is operations research with application in finance. She has developed theories and methodologies in the area of optimization and control to solve practical financial problems. In particular, her work includes portfolio management and execution for private sector and financial stress testing for public sector. She has published in top-tier journals and received several academic awards.

Education

  • PhD Industrial Engineering, University of Illinois at Urbana-Champaign, 2014
  • BS Mathematics, Dalian University of Technology, 2010

Research Interests

  • Quantitative Finance: Portfolio Management, Risk Management
  • Operations Research: Optimization, Dynamic Programming

Selected Publications

  • J. Chen, L. Feng and J. Peng. Optimal Deleveraging with Nonlinear Temporary Price Impact, 2015. European Journal of Operational Research, Volume 244 Issue 1, 240-247.
  • J. Chen, L. Feng, J. Peng and Y. Ye. Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact, 2014. Operations Research, Volume 62 Issue 1, 195-206.