Research

 Research Interests:

• Statistical Optimization in Insurance and Finance

• Risk Management

• Sustainable Investment

• Climate Risk

• Machine Learning

Refereed Journal Publications:

• Huang, Z., Wei, P., & Weng, C. (2024). Tail mean-variance portfolio selection with estimation risk. Insurance: Mathematics and Economics 116, 218-234. 

• Huang, Z., Kwok, Y.K., & Xu, Z. (2024). Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models. Insurance: Mathematics and Economics 115, 132-150.

• Huang, Z., & Kwok, Y.K. (2021). Efficient risk measures calculations for generalized CreditRisk+ models. International Journal of Theoretical and Applied Finance 24(02), 2150012.

Pre-publication Manuscripts:

• Huang, Z., Wei, P., Weng, C., & Wirjanto, T. (2023). Winning probability weighted combined portfolio. In revision.