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.
- PhD Industrial Engineering, University of Illinois at Urbana-Champaign, 2014
- BS Mathematics, Dalian University of Technology, 2010
- Quantitative Finance: Portfolio Management, Algorithmic Trading, Risk Management
- Operations Research: Optimization, Dynamic Programming
- J. Chen, M. Flood, and R. Sowers. 2016. Measuring the Unmeasurable: An Application of Uncertainty Quantification to Treasury Bond Portfolios. To appear in Quantitative Finance.
- J. Chen, L. Feng, and J. Peng. 2015. Optimal Deleveraging with Nonlinear Temporary Price Impact. European Journal of Operational Research, Volume 244 Issue 1, 240-247.
- J. Chen, L. Feng, J. Peng, and Y. Ye. 2014. Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact. Operations Research, Volume 62 Issue 1, 195-206.