Zhihua Allen-Zhao
Address: South Campus: 266 Xinglong Section of Xifeng Road, Xi’an, Shaanxi 710126
Email: allenzhaozh@gmail.com
Lecturer
School of Mathematics and Statistics
XiDian University.
Email: allenzhaozh@gmail.com
I am currently a Lecturer in the School of Mathematics and Statistics at Xidian University. I received my PhD from the School of Economics and Finance (Financial Optimization) at Xi’an Jiaotong University, advised by Fengmin Xu. Before that, I obtained my master of science from the School of Mathematics and Statistics (Operations Research) at Xi’an Jiaotong University, advised by Fengmin Xu.
Homepage: https://sites.google.com/view/allen-zhao/homepage
Google Scholar: https://scholar.google.com/citations?user=i-YP7WUAAAAJ
Research Interests
- Theory and algorithms for continuous optimization including sparse optimization, stochastic optimization, and robust optimization
- Applications in quantitative finance, data science, and machine learning
Academic Experience
- The Hong Kong Polytechnic University, Hong Kong, Research Associate
2024.03–2024.08
Supervisor: Prof. Xiaojun Chen
- Chines Academy of Sciences, Beijing, Visiting Scholar
2015.05–2015.08, 2013.09–2013.12
Supervisor: Prof. Yu-Hong Dai
Teaching
- Advanced Mathematics A-I, Fall 2022, 2023.
- Advanced Mathematics A-II, Spring 2023.
- Engineering Optimization, Fall 2023.
Research Papers
- Cardinality-constrained Low-rank Least Squares Regression for Multi-view Subspace Clustering (with M. Jia and S. Liu), submitted.
- Green Portfolio Optimization under Uncertainty and Randomness (with Z. Wu and S. Liu), submitted.
- Sparse Portfolio Optimization via L1 over L2 Regularization (with Z. Wu, K. Sun, Z. Ge and T. Zeng), to appear in European Journal of Operational Research, 2024.
- Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint (with F. Xu, Y. Dai and S. Liu), Computers & Operations Research, 2023.
- Chance constrained conic-segmentation support vector machine with uncertain data (with S. Peng and G. Canessa), Annals of Mathematics and Artificial Intelligence, 2023.
- Robust portfolio rebalancing with cardinality and diversification constraints (with F. Xu, D. Du and M. Wang), Quantitative Finance, 2021, 21(10): 1707-1721.
- CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints (with H. Wang, X. Yang and F. Xu), Applied Economics Letters, 2020, 28(3): 201-207.
- Efficient projected gradient methods for cardinality constrained optimization (with F. Xu, Y. Dai and Z. Xu), Science China-Mathematics, 2019, 62(2): 245-268.
- A sparse enhanced indexation model with L1/2 norm and its alternating quadratic penalty method (with F. Xu, M. Wang and C. Zhang), Journal of the Operational Research Society, 2019, 70(3): 433-445.
- Adaptive projected gradient thresholding methods for constrained L0 problems (with F. Xu and X. Li), Science China-Mathematics, 2015, 58(10): 2205-2224.
- Partly Adaptive Elastic Net and Its Application to Microarray Classification (with J. Li and Y. Jia), Neural Computing and Applications, 2013, 22(6): 1193-1200.
Technical Reports
- Cardinality-constrained Low-Rank Least Squares Regression for Multi-view Subspace Clustering, ASA2023, Tianjin.
- Sparse Robust Enhanced Indexation Optimization, Nanjing University of Information Science and Technology, 2023.
- Green Portfolio Optimization under Uncertainty and Randomness, ORSC-FERM2023, Fuzhou.
- Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint, CSIAM2023, Kunming.
- Models and Algorithms for Constrained Sparse Finance Optimization, Henan University, 2022.
- Worst-case CVaR Portfolio Rebalancing with Cardinality and Diversification Constraints, Northwestern Polytechnical University, 2021.
Research Group
- Shen Peng (Lecturer): June 2022 - present
- Mengxue Jia (PhD student): September 2021 – present
- Kewei Jie (PhD student): September 2021 – present
- Jiayi Lu (Graduate student): September 2021 – June 2024
- Xinyi Zhang (Graduate student): September 2021 – June 2024
- Zeyu Li (Graduate student): September 2022 – present
- Ze Gao (Undergraduate student): September 2021 – present