My research interests are in credit risk, optimal porfolio selection with regime switching, and neural network.
I received my Ph.D Degree in Mathematics from University of Science and Technology of China in 2019. My Ph.D thesis studies a class of dynamical models on credit portfolio with regime-switching and default contagion, utilizing recursive HJB system and BSDE with jumps.
I worked as a research assistant in The Hong Kong Polytechnic University from September 2018 to October 2018. Then I continue the same position from January 2019 to December 2019.
I worked as a research fellow in NUS from October 2020 to November 2021.
Publications and preprints
L. Bo, H. Liao, and X. Yu (2021): Risk-Sensitive Portfolio Optimization with Partial Observation. The Annals of Applied Probability, forthcoming.
L. Bo, and H. Liao (2021): Probabilistic Analysis of Replicator-Mutator Equations. Advances in Applied Probability, forthcoming.
L. Bo, H. Liao and X. Yu (2021): Optimal Tracking Portfolio with a Ratcheting Capital Benchmark. SIAM Journal on Control and Optimization, forthcoming.
Z. Jin, H. Liao, Y. Yang and X. Yu (2021): Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk, Scandinavian Actuarial Journal, 2021(4), 335∼361.
L. Bo, H. Liao, and X. Yu (2019): Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. SIAM Journal on Control and Optimization, 57(1), 366∼401.
L. Bo, H. Liao, and Y. Wang (2019): Optimal credit investment and risk control for an insurer with regime-switching. Mathematics and Financial Economics, 13(1), 147∼172.
A. Capponi, L. Bo, and H. Liao (2020): Deep Residual Learning via Large Sample Mean-Field Stochastic Optimization. Preprint.
lhflhf@mail.ustc.edu.cn (personal email)