Lin Chen

Lin Chen, who has a BS in mathematics from Nanjing University and a Ph.D. in Industrial Engineering from Columbia University, is interested in financial engineering, in particular the modeling of financial markets. He is investigating Nobel Laureate Markowitz’s model of portfolio theory and working on its continuous-time and distributionally robust counterparts. His long-term agenda is to combine distributionally robust optimization formulation with behavioral finance models to better explain agents’ behavior in financial markets and to yield more robust portfolios and strategies for better performance. He is working under the guidance of Xunyu Zhou, Liu Family Professor of Financial Engineering, who established the FDT Center for Intelligent Asset Management at Columbia Engineering.