Click here for my CV in pdf version.

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Biography

- I am currectly a Ph.D. candidate, supervised by Prof. Wong Hoi Ying, in the Department of Statistics at The Chinese University of Hong Kong, Hong Kong.
- I received the B.Sc. in Mathematics and Applied Mathematics from Shandong University, Jinan, China, in 2017.
- I was an exchange student in the Academy of Mathematics and Systems Science, Chinese Academy of Sciences, from Sept. 2016 to May 2017. My superivisor is Prof. Xia Jianming.

Research

- Yan T. and Wong H. Y. (2019). Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility. Automatica 107, 211-223.
- Yan T. and Wong H. Y. (2020). Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. Insurance: Mathematics and Economics 90, 105-119.
- Yan T., Han B., Pun C. S. and Wong H. Y. (2020). Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility . Mathematics and Financial Economics 14, 699-724.
- Yan, T., & Wong, H. Y. (2020). Trading with path-dependent effect: A continuous-time cointegration perspective. Working paper.

Presentations

- “Mean-variance reinsurance-investment with unbounded random parameters in incomplete markets: time-consistent open-loop controls”, The Quantitative Methods in Finance 2018 Conference, Sydney, Australia, December 2018.
- “Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility”, 2019 SIAM Financial Mathematics and Engineering, Toronto, Canada, June 2019.
- “Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility”, The 3rd International Conference on Econometrics and Statistics, Taichung, Taiwan, June 2019.

Scholarships/Awards

- Hong Kong PhD Fellowship (established by Research Grants Council of Hong Kong), 2017-2021
- China National Scholarship (established by the Central Government of China), 2016
- Excellent student first-class scholarship (established by Shandong University), 2014-2016

Contact

- Email: tjyan@link.cuhk.edu.hk
- Office: LSB 143, The Chinese University of Hong Kong, HONG KONG

Last Update: 17 Nov 2020