42 citations · 144 across the 29 of their papers we have counts for
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math.OC2018
A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
Jize Zhang, Tim Leung, Aleksandr Aravkin
A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund mana…
math.OC2016
Timing Options for a Startup with Early Termination and Competition Risks
Tim Leung, Zongxi Li
This paper analyzes the timing options embedded in a startup firm, and the associated market entry and exit timing decisions under the exogenous risks of early termination and comp…