YANG, Chen

Assistant Professor Department of Systems Engineering and Engineering Management Faculty of Engineering The Chinese University of Hong Kong Postal Address: Room 511A, William M.W. Mong Engineering Building The Chinese University of Hong Kong Shatin, N.T., Hong Kong Email: cyang at se.cuhk.edu.hk Phone: +852 3943-8322

Teaching [Blackboard@CUHK]

• SEEM3590 Investment Science, Fall 2019
• SEEM3580 Risk Analysis for Financial Engineering, Spring 2020

Publications

1. Rebalancing of Leveraged ETFs under Market Frictions (with Min Dai, Steven Kou and H. Mete Soner).
   submitted, 2019.
2. Designing Stable Coins (with Yizhou Cao, Min Dai, Steven Kou and Lewei Li).
   submitted, 2018.
3. Stochastic Representation for Nonlocal Problems (with Min Dai and Steven Kou).
   submitted, 2017.
4. Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Dapeng Shang).
   SIAM Journal on Financial Mathematics, forthcoming. [SSRN|arXiv]
5. Hedge Fund Leverage with Stochastic Market Conditions (with Li Zhao, Wenli Huang and Shenghong Li).
   International Review of Economics & Finance 59:258-273, 2018. [Article]
6. Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with Min Dai, Hong Liu and Yifei Zhong).
   The Review of Financial Studies 28.9:2687-2721, 2015. [Article]

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