| Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan Y Dong, H Zheng European Journal of Operational Research 281 (2), 341-356, 2020 | 68 | 2020 |
| Optimal investment of DC pension plan under short-selling constraints and portfolio insurance Y Dong, H Zheng Insurance: Mathematics and Economics 85, 47-59, 2019 | 63 | 2019 |
| Necessary conditions for optimal control problems with state constraints R Vinter, H Zheng Transactions of the American Mathematical Society 350 (3), 1181-1204, 1998 | 57 | 1998 |
| The extended Euler--Lagrange condition for nonconvex variational problems R Vinter, H Zheng SIAM journal on control and optimization 35 (1), 56-77, 1997 | 50 | 1997 |
| Smooth value functions for a class of nonsmooth utility maximization problems B Bian, S Miao, H Zheng SIAM Journal on Financial Mathematics 2 (1), 727-747, 2011 | 46 | 2011 |
| Generalized conjugate points for optimal control problems PD Loewen, H Zheng Nonlinear Analysis: Theory, Methods & Applications 22 (6), 771-791, 1994 | 46 | 1994 |
| Basket CDS pricing with interacting intensities H Zheng, L Jiang Finance and stochastics 13, 445-469, 2009 | 45 | 2009 |
| Basket options valuation for a local volatility jump–diffusion model with the asymptotic expansion method G Xu, H Zheng Insurance: Mathematics and Economics 47 (3), 415-422, 2010 | 44 | 2010 |
| A maximum principle for optimal control problems with mixed constraints MDR De Pinho, RB Vinter, H Zheng IMA Journal of Mathematical Control and Information 18 (2), 189-205, 2001 | 44 | 2001 |
| Turnpike property and convergence rate for an investment model with general utility functions B Bian, H Zheng Journal of Economic Dynamics and Control 51, 28-49, 2015 | 34 | 2015 |
| Interaction of credit and liquidity risks: Modelling and valuation H Zheng Journal of Banking & Finance 30 (2), 391-407, 2006 | 31 | 2006 |
| On modeling credit defaults: A probabilistic Boolean network approach JW Gu, WK Ching, TK Siu, H Zheng Risk and decision analysis 4 (2), 119-129, 2013 | 30 | 2013 |
| Approximate basket options valuation for a jump-diffusion model G Xu, H Zheng Insurance: Mathematics and Economics 45 (2), 188-194, 2009 | 30 | 2009 |
| Jump liquidity risk and its impact on CVaR H Zheng, Y Shen The Journal of Risk Finance 9 (5), 477-492, 2008 | 29 | 2008 |
| Optimal dividend strategies of two collaborating businesses in the diffusion approximation model JW Gu, M Steffensen, H Zheng Mathematics of Operations Research 43 (2), 377-398, 2018 | 25 | 2018 |
| The duration derby: a comparison of duration based strategies in asset liability management H Zheng, LC Thomas, DE Allen Proceedings of the 41st IEEE Conference on Decision and Control, 2002. 1 …, 2002 | 22 | 2002 |
| Weak necessary and sufficient stochastic maximum principle for markovian regime-switching diffusion models Y Li, H Zheng Applied Mathematics & Optimization 71, 39-77, 2015 | 20 | 2015 |
| Necessary conditions for Free end-time, measurably time dependent optimal control problems with state constraints RB Vinter, H Zheng Set-Valued Analysis 8, 11-29, 2000 | 20 | 2000 |
| Efficient frontier of utility and CVaR H Zheng Mathematical Methods of Operations Research 70, 129-148, 2009 | 19 | 2009 |
| Utility-deviation-risk portfolio selection KC Wong, SCP Yam, H Zheng SIAM Journal on Control and Optimization 55 (3), 1819-1861, 2017 | 18 | 2017 |
