梅小玲

助理教授

Universidad Carlos III de MadridPh.D. in Mathetamtical Engineering

电话:

电子邮件: luciamay@xmu.edu.cn

办公室:D317

Office Hours:Tuesday 15:00-17:00


个人简介 研究成果 研究项目

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] Precison 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研究,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