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Department of Decision Analytics and Operations

Prof. LIU Guangwu (劉光梧教授)

PhD - Industrial Engineering and Logistics Management (The Hong Kong University of Science and Technology)
BSc - Information and Computing Science (Tsinghua University)

Professor

Prof. LIU Guangwu (劉光梧教授)

Contact Information

Address: 7-247, Lau Ming Wai Academic Building
City University of Hong Kong
Phone: +852 34428304
Fax: +852 34420189
E-mail:
guanliu@cityu.edu.hk
CV:

Research Areas

  • Financial Engineering, Risk Management
  • Stochastic Simulation
  • Machine learning
  • Business analytics

Awards

Award Title Institution
The 2012-2013 Early Career Award The Research Grants Council of Hong Kong
The 2012 Outstanding Simulation Publication Award INFORMS 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

External Academic Activities

Period Organizer Country / Region Role
1/2018 - Now Naval Research Logistics United States of America Associate Editor
1/2022 - 12/2023 Operations Research United States of America Associate Editor

Selected Publications

Journal Publications and Reviews
Chapters, Conference Papers, Creative and Literary Works