研究兴趣：
最优资产配置
量化交易
信用风险建模及其衍生品定价
供应链管理
机器学习在资产配置上的应用
教育背景：
2014年73882必赢网页版， 香港大学，73882必赢网页版，获金融数学哲学博士学位
2010年73882必赢网页版，中山大学，73882必赢网页版，获数学学士学位
工作经历:
2017年73882必赢网页版8月至今，南方科技大学，73882必赢网页版，助理教授
2016年73882必赢网页版11月至2017年73882必赢网页版7月，香港大学，73882必赢网页版，博士后
2014年73882必赢网页版11月至2016年73882必赢网页版8月，哥本哈根大学，73882必赢网页版，博士后
2014年73882必赢网页版6月至2014年73882必赢网页版8月，摩根大通，量化研究组实习
代表著作(* 通讯作者):
1. S. Guo*, J.W. Gu, and W. K. Ching, Adaptive Online Portfolio Selection with Transaction Costs, European Journal of Operational Research, (2021), doi:10.1016/j.ejor.2021.03.023.
2. D.M. Zhu*, J.W. Gu, F.H. Yu, W.K. Ching, T.K. Siu, How correlation risk in basket credit derivatives might be priced and managed? IMA Journal of Management Mathematics, (2021), 32(2), 195-219.
3. J.W. Gu*, M. Steffensen and H. Zheng, A Note on P- vs. Q-Expected Shortfall Portfolio Constraints, Quantitative Finance, (2021), 21(2), 263-270.
4. J.W. Gu*, S.J. Si and H. Zheng, Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation, SIAM Journal on Control and Optimization, (2020), 58, 866-894.
5. Y. Lin, M.Y. Leung, L. Zhang* and J.W. Gu, Single-item repairable inventory system with stochastic new and warranty demands, Transportation Research Part E: Logistics and Transportation Review, (2020), 142: 102035.
6. J.W. Gu*, M. Steffensen and H. Zheng, Optimal Dividend Strategies of Collaborating Businesses in the Diffusion Approximation Case, Mathematics of Operations Research, (2018), 43, 377-398.
7. Q. Yang, W.K. Ching*, J.W. Gu* and T.K. Siu, Market-Making Strategy with Asymmetric Information and Regime-Switching, Journal of Economic Dynamics and Control, (2018), 90, 408-433.
8. F.H. Yu, W.K.Ching*, J.W. Gu and T.K. Siu, Interacting Default Intensity with Hidden Markov Process, Quantitative Finance, (2017), 17, 781-794.
9. X. Huang*, J.W. Gu, W.K. Ching and T.K. Siu, Impact of Secondary Market on Consumer Return Policies and Supply Chain Coordination, OMEGA-The International Journal of Management Science, (2014), 45, 57-70.
10. J.W. Gu, W.K Ching*, T.K. Siu and H. Zheng, On Reduced Form Intensity-based Model with Trigger Events, Journal of the Operational Research Society, (2014), 65, 331-339.
11. J.W. Gu*, W.K Ching, T.K. Siu and H. Zheng, On Pricing Basket Credit Default Swaps, Quantitative Finance, (2013), 13, 1845-1854. (Lead feature article)
12. B. Wu, B. Lv, J.W. Gu, Weighted Multivariate Mean Reversion for Online PortfolioSelection, ECML-PKDD, (2023).
13. S. Guo, J.W. Gu∗, C. H. Fok, W.K. Ching, Online portfolio selection with state-dependent price estimators and transaction costs, European Journal of Operational Research, (2023),doi: 10.1016/j.ejor.2023.05.001.
14. Z. Wu, X. Qian, M. Huang*, W.K. Ching, X. Wang, J.W. Gu, Recycling channel choice in closed-loop supply chains considering retailer competitive preference, Enterprise Information Systems, (2023), 17.
15. F.H. Yu, W.K. Ching, C. Wu*, J.W. Gu, Optimal Pairs Trading Strategies: A Stochastic Mean-Variance Approach, Journal of Optimization Theory and Applications, (2022), 196, 36-55.
16. D. Zhu, J.W. Gu, F. Yu, T. Siu and W. Ching, Optimal Pairs Trading with Dynamic Mean-variance, Mathematical Method of Operations Research, (2021), 94, 145-168.
17. B. Wu, B. Lv, J.W. Gu, Weighted Multivariate Mean Reversion for Online Portfolio
Selection, ECML-PKDD, (2023).
18. S. Guo, J.W. Gu*, C. H. Fok, W.K. Ching, Online portfolio selection with state-dependent price estimators and transaction costs, European Journal of Operational Research, (2023), doi: 10.1016/j.ejor.2023.05.001.
19. Z. Wu, X. Qian, M. Huang*, W.K. Ching, X. Wang, J.W. Gu, Recycling channel choice in closed-loop supply chains considering retailer competitive preference, Enterprise Information Systems, (2023), 17.
20. F.H. Yu, W.K. Ching, C. Wu*, J.W. Gu, Optimal Pairs Trading Strategies: A Stochastic
Mean-Variance Approach, Journal of Optimization Theory and Applications, (2022), 196, 36-55.
21. D. Zhu, J.W. Gu, F. Yu*, T. Siu and W. Ching, Optimal Pairs Trading with Dynamic Mean-variance, Mathematical Method of Operations Research, (2021), 94, 145-168.
