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Mei, Xiaoling

Assistant Professor

Phone:

Email:meilingluck@gmail.com ; luciamay@xmu.edu.cn

Office:D317

Office Hours:

Research Fields:


Biography Research Papers Research Projects

Research Interests
Quantitative Finance, Portfolio Optimization, Statistics, Dynamic Programming

Education
Ph.D. in Mathematical Engineering, Universida Carlos III de Madrid, 2016;
M.S. in mathematical Engineering, Universidad Carlos III de Madrid, 2011;
B.S. in Applied Mathematics, Beijing Normal University, 2009

1. Multiperiod portfolio optimization with multiple risky assets and general transaction costs (with Victor DeMiguel and Javier Nogales), Journal of Banking & Finance, 2016

2. Portfolio selection with proportional transaction costs and predictability (with Javier Nogales), Journal of Banking & Finance, 2018

3. Precision matrix estimation under data contamination with an application to minimum variance portfolio selection (with Vahe Avagyan), Communications in Statistics - Simulation and Computation, 2019

 

1. 福建省自然科学基金青年项目 - 基于凸交易成本的动态投资组合模型,2019-2022

2. 国家自然科学基金青年项目 - 考虑交易成本的高维动态投资优化模型,2020-2022