Faculty
Department of Management Science and Engineering Associate Professor
Phone：(86)(10)62789818
E-mail：wangchun@sem.tsinghua.edu.cn
Office：542 Weilun Building
I an associate professor of the Department of Management Science and Engineering in the School of Economics and Management at Tsinghua University. My research interests include: Stochastic control problems and dynamic programming methods in inventory management, revenue management and financial engineering areas; Online learning theory and applications; Data-driven optimization and machine learning applications in business data analytics and financial technologies. I received Bachelor's Degree from Tsinghua University in 2005, and Master's Degree from University of Wisconsin - Madison in 2008. I obtained a Ph.D. in Operations Research from Columbia University in 2014. Before joining Tsinghua SEM, I worked at KCG (New York) as a quantitative researcher.
Publications
A Partitioning Algorithm for Markov Decision Processes and Its Application to Market Microstructure, with Ningyuan Chen and Steven Kou.Management Science, 64(2), 784-803, 2018. [Link]
Tax-Aware Dynamic Asset Allocation, with Martin Haugh and Garud Iyengar.Operations Research, 64(4), 849-866, 2016. [Link]
Dynamic Portfolio Execution and Information Relaxations, with Martin Haugh.SIAM J. Financial Math, 5(1), 316-359, 2014. [Link]
Working Papers
Play Like the Pros? Solving the Game of Darts as a Dynamic Zero-Sum Game, with Martin Haugh. [Link]
A Robust Cycle-Based Policy for Inventory Management with Fixed Ordering Costs, with Yupeng Chen and Garud Iyengar. [Link]
Learning and Optimization with Seasonal Patterns, with Ningyuan Chen and Longlin Wang. [Link]
Information Relaxations and Dynamic Zero-Sum Games, with Martin Haugh. [Link]
