Associate Professor
Department of Systems Engineering and Engineering Management (SEEM), Faculty of Engineering
The Chinese University of Hong Kong (CUHK)
(Affiliated with Shaw College)
E-mail: dohyun [dot] ahn [at] cuhk [dot] edu [dot] hk
Phone: +852 3943 8238
Office: 509 William M. W. Mong Engineering Building, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong
I am an Associate Professor in the Department of Systems Engineering and Engineering Management (SEEM) at the Chinese University of Hong Kong (CUHK). Before joining CUHK in 2018, I received a B.S. degree with a double major in Industrial & Systems Engineering and Management Science in 2011 and my M.S. and Ph.D. degrees in Industrial & Systems Engineering in 2013 and 2018, respectively, all from the Korea Advanced Institute of Science and Technology (KAIST).
I am interested in the broad fields of operations research and management science, with a particular focus on:
Quantitative risk management
Stochastic simulation methodologies
Analysis of network effects in finance and operations
Decision making under model risk and information uncertainty
2024 Operations Research Reviewer Meritorious Service Award
2023 Dean's Exemplary Teaching Award, Faculty of Engineering, CUHK
2023 WSC INFORMS-Sim Best Student Paper Award*
2022 INFORMS Section on Finance Best Student Paper Award*
2021 WSC Best Contributed Theoretical Paper Runner-up Award
2019 KIIE MS Student Paper Runner-up Award*
2019 Best Thesis Award, Department of Industrial & Systems Engineering, KAIST
2015 INFORMS Section on Finance Best Student Paper Award (Second Place)
2015 KORMS Best Paper Award
2013 - 2016 Global Ph.D. Fellowship, National Research Foundation of Korea
(Awards won by student coauthors are marked with *)
Data-Driven Sequential Sampling for Tail Risk Mitigation
Dohyun Ahn and Taeho Kim
[pdf]
Robust Optimal Strategies for Two-Period Liquidation in Financial Systems
Dohyun Ahn and Hongyi Jiang
[pdf]
Wasserstein Distributionally Robust Rare-Event Simulation
Dohyun Ahn and Lewen Zheng
On the Optimality of Tracking Fisher Information in Adaptive Testing
Sanghwa Kim, Dohyun Ahn, and Seungki Min
Optimal Intervention for Systemic Risk Mitigation: Capital Injection or Asset Purchase?
Dohyun Ahn and Hongyi Jiang
Efficient Simulation of Polyhedral Expectations with Applications to Finance
Dohyun Ahn and Lewen Zheng
Mathematics of Operations Research, Articles in Advance [doi][pdf]
1st Place, Best Student Paper Competition, INFORMS Section on Finance, 2022
Feature Misspecification in Sequential Learning Problems
Dohyun Ahn, Dongwook Shin, and Assaf Zeevi
Management Science, 71(5):4066-4086, 2025 [doi][pdf]
Data-Driven Resource Allocation for Multi-Target Attainment
Dohyun Ahn
European Journal of Operational Research, 318(3):954-965, 2024 [doi][pdf]
Robust Risk Quantification via Shock Propagation in Financial Networks
Dohyun Ahn, Nan Chen, and Kyoung-Kuk Kim
Operations Research, 72(1):1-18, 2024 [doi][pdf]
Multivariate Stress Scenario Selection in Interbank Networks
Dohyun Ahn, Kyoung-Kuk Kim, and Eunji Kwon
Journal of Economic Dynamics and Control, 154:104712, 2023 [doi][pdf]
2nd Place, KIIE Best MS Student Paper Competition, 2019
Shock Amplification in Financial Networks with Applications to the CCP Feasibility
Dohyun Ahn
Quantitative Finance, 20(7):1045-1056, 2020 (Feature Article) [doi][pdf]
Small-Time Smile for the Multifactor Volatility Heston Model
Dohyun Ahn, Kyoung-Kuk Kim, and Younghoon Kim
Journal of Applied Probability, 57(4):1070-1087, 2020 [doi][pdf]
Optimal Intervention under Stress Scenarios: A Case of the Korean Financial System
Dohyun Ahn and Kyoung-Kuk Kim
Operations Research Letters, 47(4):257-263, 2019 [doi][pdf]
Efficient Simulation for Expectations over the Union of Half-Spaces
Dohyun Ahn and Kyoung-Kuk Kim
ACM Transactions on Modeling and Computer Simulation, 28(3), Article 23, 2018 [doi][pdf]
KORMS Best Paper Award, 2015
2nd Place, Best Student Paper Competition, INFORMS Section on Finance, 2015
Analysis and Design of Microfinance Services: A Case of ROSCA
Dohyun Ahn, Wanmo Kang, Kyoung-Kuk Kim, and Hayong Shin
The Engineering Economist, 62(3):197-230, 2017 [doi][pdf]
Featured in the December 2017 issue of ISE magazine (published by IISE): "Best practices for setting up a financial sharing system"
Data-Driven Estimation of Tail Probabilities under Varying Distributional Assumptions
Dohyun Ahn, Sandeep Juneja, Tejas Pagare, and Shreyas Samudra
Proceedings of the 2025 Winter Simulation Conference, Accepted
Best-Arm Identification with High-Dimensional Features
Dohyun Ahn, Dongwook Shin, and Lewen Zheng
Proceedings of the 2024 Winter Simulation Conference [doi][pdf]
Conditional Importance Sampling for Convex Rare-Event Sets
Dohyun Ahn and Lewen Zheng
Proceedings of the 2023 Winter Simulation Conference [doi][pdf]
INFORMS-Sim Best Student Paper Award, Winter Simulation Conference Ph.D. Colloquium, 2023
Risk-Sensitive Ordinal Optimization
Dohyun Ahn and Taeho Kim
Proceedings of the 2023 Winter Simulation Conference [doi][pdf]
Efficient Simulation for Linear Programming under Uncertainty
Dohyun Ahn and Lewen Zheng
Proceedings of the 2021 Winter Simulation Conference [doi][pdf]
Runner-up, Best Theoretical Paper Competition, Winter Simulation Conference, 2021
Ordinal Optimization with Generalized Linear Model
Dohyun Ahn and Dongwook Shin
Proceedings of the 2020 Winter Simulation Conference [doi][pdf]
SEEM2440 Engineering Economics: Fall 2018, 2019, 2020, 2021, 2022, 2023, 2024
SEEM2520 Fundamentals in Financial Engineering: Fall 2021, 2023
SEEM2602 Systems Engineering Practicum: Fall 2018, Spring 2022, 2023
SEEM4720 Computational Finance: Spring 2020, 2021, 2023, 2024, 2025
Current Students
Hongyi Jiang (August 2020 - Present)
Thesis: "Strategic Decision Making for Risk Management in Financial Systems"
Huiyi Chen (August 2023 - Present)
Research Topic: Sequential Learning under Model Uncertainty
Runming Huang (August 2025 - Present)
Research Topic: TBD
Alumni
Lewen Zheng (Ph.D., 2024)
Thesis: "Efficient Monte Carlo Methods for Rare Events in Financial Applications"
First position: Associate Researcher, Huawei Hong Kong Research Center
CUHK Direct Grant for Research (PI, 2025-2027): "Data-Driven Top-k Selection Methods for Risk Management"
CUHK Direct Grant for Research (PI, 2023-2026): "Tail Risk Quantification under Model Uncertainty"
Early Career Scheme, Hong Kong Research Grants Council (PI, 2021-2024): "Multivariate Stress Testing of Financial Networks for Systemic Risk Management"
Applied Simulations Research Limited (Co-I, 2022-2023): "Robust Optimization of Speculative Trading Portfolios and Its Applications" with Nan Chen (PI)
CUHK Direct Grant for Research (PI, 2020-2022): "Rare-Event Simulation for Systemic Risk Measurement"
CUHK Direct Grant for Research (PI, 2018-2021): "Asymptotic and Robust Analysis for High-Dimensional Risks in Complex Networks"
Ph.D. student: I am looking for self-motivated, dedicated, hard-working Ph.D. students with solid mathematical backgrounds. Knowledge of finance is helpful but not required. If you are interested, please visit [here] and fill out the form.
§ Visit [here] to apply for our Ph.D. program.
§ The annual stipend for general Ph.D. students is HK$224,700 (approx. US$ 28,810) [link].
§ HK Ph.D. Fellowship Scheme awardees receive the annual stipend of HK$337,200 (approx. US$43,230) with travel allowance, tuition fee waiver, and accommodation benefits [link].