Prof. LIU Guangwu
劉光梧教授
Professor
PhD - Industrial Engineering and Logistics Management (The Hong Kong University of Science and Technology)
BSc - Information and Computing Science (Tsinghua University)
+852 34428304
Fax
+852 34420189
Office
LAU-7-247
Email
guanliu@cityu.edu.hk
Public CV
https://www.cb.cityu.edu.hk/portfolio/getCV.cfm?filename=193810.pdf&eid=guanliu…

Research Areas

Financial Engineering, Risk Management
Stochastic Simulation
Machine learning
Business analytics

External Academic Activities

PeriodOrganizerCountry / RegionRole
1/2018 - NowNaval Research LogisticsUnited States of AmericaAssociate Editor
1/2022 - 12/2023Operations ResearchUnited States of AmericaAssociate Editor

Awards

Award TitleInstitution
The 2012-2013 Early Career AwardThe Research Grants Council of Hong Kong
The 2012 Outstanding Simulation Publication AwardINFORMS Simulation Society

Research Grant

PI: "Adaptive sampling methods for ranking and estimation problems", General Research Fund - The Hong Kong Research Grants Council, Amount: 779652 (2024-2025), Guangwu Liu
PI: "Financial Systemic Risk Measures based on Monte Carlo Simulation: Theory and Methods", NSFC/RGC Joint Research Scheme - National Natural Science Foundation of China & The Hong Kong Research Grants Council, Amount: 1185561 (2022-2025), L. Jeff Hong (Mainland PI), Guangwu Liu (HK PI)
PI: "Simulation Methods for Sensitivities of Expectations with Nested Discontinuity", General Research Fund - The Hong Kong Research Grants Council, Amount: 543993 (2022-2023), Guangwu Liu
PI: "Machine learning methods for portfolio risk measurement", General Research Fund - The Hong Kong Research Grants Council, Amount: 750656 (2020-2022), Guangwu Liu
PI: "Measuring the performance of simulation metamodels", General Research Fund - The Hong Kong Research Grants Council, (2018-2020), Guangwu Liu
PI: "A likelihood ratio method for nested simulation", General Research Fund - The Hong Kong Research Grants Council, (2017-2019), Guangwu Liu
PI: "Joint Chance Constrained Programming: A Gradient Perspective", General Research Fund - The Hong Kong Research Grants Council, (2016-2018), Guangwu Liu
PI: "An optimal stopping approach to portfolio risk measurement", General Research Fund - The Hong Kong Research Grants Council, (2014-2016), Guangwu Liu
PI: "A change-of-variable approach to conditional Monte Carlo", General Research Fund - The Hong Kong Research Grants Council, (2013-2015), Guangwu Liu
PI: "A kernel method for pricing and hedging American path-dependent options", Early Career Scheme - The Hong Kong Research Grants Council, (2012-2014), Guangwu Liu
PI: "Fast simulation of capital allocation for credit portfolios", General Research Fund - The Hong Kong Research Grants Council, (2011-2013), Guangwu Liu
PI: "A conditional Monte Carlo method for simulating conditional expectations", General Research Fund - The Hong Kong Research Grants Council, (2010-2012), Guangwu Liu
PI: "Fast simulation of American option pricing", Start-Up Grant - City University of Hong Kong, (2009-2011), Guangwu Liu

Publications

Zheng, Liang; Chen, Yanzhan; Liu, Guangwu; Bao, Ji / A unified robust optimization approach for problems with costly simulation-based objectives and constraints. November 2025; In: Computers and Operations Research. Vol. 183
Wang, Du-Yi; Liang, Guo; Liu, Guangwu; Zhang, Kun / Derivative-Free Optimization via Finite Difference Approximation: An Experimental Study. June 2025; In: Asia-Pacific Journal of Operational Research.
Lai, Qidong; Liu, Guangwu; Zhang, Bingfeng; Zhang, Kun / Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels. October 2024; In: INFORMS Journal on Computing.
Ge, Yu; Liu, Guangwu; Shen, Houcai / Nested Simulation for Conditional Value-at-Risk with Discrete Losses. October 2024; In: Asia-Pacific Journal of Operational Research. Vol. 41, No. 5
Jeff Hong, L.; Liu, Guangwu; Luo, Jun; Xie, Jingui / Variability scaling and capacity planning in Covid-19 pandemic. July 2023; In: Fundamental Research. Vol. 3, No. 4, pp. 627-639
Zhang, Kun; Liu, Guangwu; Wang, Shiyu / Technical Note- Bootstrap-based Budget Allocation for Nested Simulation. March 2022; In: Operations Research. Vol. 70, No. 2, pp. 1128-1142
Zhong, Ying; Hong, L. Jeff; Liu, Guangwu / Earning and Learning with Varying Cost. August 2021; In: Production and Operations Management. Vol. 30, No. 8, pp. 2379-2394
HONG, L. Jeff; Juneja, Sandeep; LIU, Guangwu / Kernel smoothing for nested estimation with application to portfolio risk measurement. May 2017; In: Operations Research. Vol. 65, No. 3, pp. 657-673
Tong, Shaolong; Liu, Guangwu / Importance Sampling for Option Greeks with Discontinuous Payoffs. February 2016; In: INFORMS Journal on Computing. Vol. 28, No. 2, pp. 223-235
Liu, Guangwu / Simulating risk contributions of credit portfolios. February 2015; In: Operations Research. Vol. 63, No. 1, pp. 104-121
HONG, L. Jeff; HU, Zhaolin; LIU, Guangwu / Monte Carlo methods for value-at-risk and conditional value-at-risk: A review. August 2014; In: ACM Transactions on Modeling and Computer Simulation. Vol. 24, No. 4
Liu, Guangwu; Hong, L. Jeff / Kernel estimation of the greeks for options with discontinuous payoffs. January 2011; In: Operations Research. Vol. 59, No. 1, pp. 96-108
Hong, L. Jeff; Liu, Guangwu / Pathwise estimation of probability sensitivities through terminating or steady-state simulations. March 2010; In: Operations Research. Vol. 58, No. 2, pp. 357-370
Liu, Guangwu; Hong, L. Jeff / Revisit of stochastic mesh method for pricing American options. November 2009; In: Operations Research Letters. Vol. 37, No. 6, pp. 411-414
Liu, Guangwu; Hong, Liu Jeff / Kernel estimation of quantile sensitivities. September 2009; In: Naval Research Logistics. Vol. 56, No. 6, pp. 511-525
Hong, L. Jeff; Liu, Guangwu / Simulating sensitivities of Conditional value at risk. February 2009; In: Management Science. Vol. 55, No. 2, pp. 281-293
Liu, Guangwu; Zhang, Kun / A TUTORIAL ON NESTED SIMULATION. December 2024; 2024 Winter Simulation Conference (WSC 2024). pp. 1-15
Liang, Guo; Liu, Guangwu; Zhang, Kun / AN EFFICIENT FINITE-DIFFERENCE APPROXIMATION. December 2024; Proceedings of the 2024 Winter Simulation Conference. pp. 455-466
Kuang, Xianyu; Liu, Guangwu; Zhu, Qianwen / NESTED SIMULATION FOR VALUE-AT-RISK WITH PRECISION TOLERANCE. December 2024; Proceedings of the 2024 Winter Simulation Conference (WSC). pp. 395-406
Zhang, Manjing; He, Yulin; Liu, Guangwu; Dai, Shan / Input Uncertainty Quantification Via Simulation Bootstrapping. December 2023; 2023 Winter Simulation Conference (WSC). pp. 3693-3704
Wang, Shiyu; Cai, Guowei; Yu, Peiwen; Liu, Guangwu; Luo, Jun / Mean-Variance Portfolio Optimization with Nonlinear Derivative Securities. December 2023; 2023 Winter Simulation Conference (WSC). pp. 576-587
Feng, Ben; Liu, Guangwu; Zhang, Kun / Portfolio Risk Measurement via Stochastic Mesh with Average Weight. December 2022; Proceedings of the 2022 Winter Simulation Conference (WSC). pp. 903-914
Liu, Guangwu; Shi, Wen; Zhang, Kun / AN UPPER CONFIDENCE BOUND APPROACH TO ESTIMATING COHERENT RISK MEASURES. December 2019; Proceedings of the 2019 Winter Simulation Conference. pp. 914-925
Wang, Shiyu; Liu, Guangwu; Zhang, Kun / A MISSPECIFICATION TEST FOR SIMULATION METAMODELS. December 2017; Proceedings of the 2017 Winter Simulation Conference. pp. 1938-1949
Zhang, Kun; Liu, Guangwu; Wang, Shiyu / PORTFOLIO RISK MEASUREMENT VIA STOCHASTIC MESH. December 2017; Proceedings of the 2017 Winter Simulation Conference. pp. 1796-1807
Feng, Guiyun; Liu, Guangwu; Sun, Lihua / A nonparametric method for pricing and hedging American options. 2013; Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. pp. 691-700
Liu, Guangwu / A reflection-based variance reduction technique for sum of random variables. 2011; Proceedings - Winter Simulation Conference. pp. 3790-3799
Hong, L. Jeff; Liu, Guangwu / Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities. 2011; Proceedings - Winter Simulation Conference. pp. 95-107
Liu, Guangwu / Importance sampling for risk contributions of credit portfolios. 2010; Proceedings - Winter Simulation Conference. pp. 2771-2781
Liu, Guangwu; Hong, L. Jeff / Revisit of stochastic mesh method for pricing American options. 2008; Proceedings - Winter Simulation Conference. pp. 594-601
Liu, Guangwu; Hongh, L. Jeff / Kernel estimation for quantile sensitivities. 2007; Proceedings - Winter Simulation Conference. pp. 941-948