Professor Feng is working with Integral ILS to develop a portfolio optimisation process based on the latest optimisation theory and techniques.
Professor Feng’s research interests include quantitative risk management, financial engineering, Monte Carlo simulation design and analysis, and non-linear optimisation.
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. His professional background in actuarial science guides his research towards applying advanced theoretical methodologies to solve complex practical problems. His current research topics include: