Professor Feng’s research interests include quantitative risk management, financial engineering, Monte Carlo simulation design and analysis, and nonlinear optimization.
Professor Feng is particularly interested in the intersection of these fields such as statistical machine learning, portfolio optimization, efficient simulation algorithms for risk management, etc. My professional background in actuarial science guides my research towards applying advanced theoretical methodologies to solve complex practical problems.
His current research topics include:
Green simulation: reusing outputs in repeated simulation experiments
Quantitative risk management in investment guarantees
Efficient experiment design for nested simulations
Machine learning in actuarial science
Quantification of data uncertainty
Operations research
