My name is Benmeng Lyu, and I am a quantitative researcher at AQUMON, focusing on Global Asset Allocation and Portfolio Optimization. Before that, I obtained my Ph.D. in Applied Mathematics from the University of Hong Kong, where I was fortunate to be supervised by Prof.Wai-Ki Ching(HKU) and Prof.Jiawen Gu(SUSTech). My research interests lie in Portfolio Optimization, Operational Research, AI applications in Finance, and Stochastic Control.

I am passionate about all aspects of mathematics, computer science, and finance, diving into the financial market with STEM tools.

Education Background

The University of Hong Kong (HKU)

• Ph.D. Major in Applied Mathematics, Department of Mathematics.
• Supervisors: Prof.Wai-Ki Ching(HKU) and Prof.Jiawen Gu(SUSTech)
• Period: Sep 2019 - Nov 2023
• Research Interests: Portfolio Optimization; Operational Research; AI applications in Finance; Stochastic Control.

The Chinese University of Hong Kong (CUHK)

• Visiting Student, Department of Mathematics.
• Period: Sep 2022 - Dec 2022

Southern University of Science and Technology (SUSTech)

• Bachelor of Economics, Major in Financial Mathematics (GPA3.72/4), Department of Mathematics
• Period: Sep 2015 - Jul 2019
• Main Courses: Linear Algebra, Mathematical Statistics, Applied Stochastic Process, Computational Finance, Differential Equation, Real Analysis, Econometrics, Asset Pricing and Risk Management, Derivatives.

Experience

• Quantitative Researcher, AQUMON, Now.
• Quantitative Researcher Intern, China Construction Bank Fintech, Oct 2023 - Jan 2024.
• Quantitative Analyst Intern, Topsperity Securities, Apr 2023 - Jul 2023.

Publications

• Benmeng Lyu, Boqian Wu, Sini Guo, Jia-Wen Gu, Wai-Ki Ching. “Robust online portfolio optimization with cash flows.” Omega 129 (2024): 103169.
• Sini Guo, Jia-Wen Gu, Wai-Ki Ching, Benmeng Lyu. “Adaptive online mean-variance portfolio selection with transaction costs.” Quantitative Finance 24.1 (2024): 59-82.
• Boqian Wu, Benmeng Lyu, Jiawen Gu. “Weighted Multivariate Mean Reversion for Online Portfolio Selection.” Joint European Conference on Machine Learning and Knowledge Discovery in Databases, 2023.

Talks

• European Conference on Machine Learning. Sep 2023. Turin, Italy.
• 1st Operational Research Society of Hong Kong Young Researchers Workshop. Nov 2022. Hong Kong

Ongoing Projects

• Time Series Forecasting Based Online Portfolio Optimization with Risk Control.
• Adjustable Cash Inflows Based Online Investment Decision Making.

Teaching Assistant

• MATH1013 University Mathematics II @ HKU
• FMA302 Financial Economics @ SUSTech
• MA407 Selected Topics on Financial Mathematics @ SUSTech

Social Activities

• Journal Reviewer: European Journal of Operational Research (2022), North American Journal of Economics and Finance (2023).
• President of Shuren College Student Union, SUSTech (2017-2018).
• Volunteer Teaching in the Village School of Lianping County (2017).

Awards

• 2019 Full Scholarship, HKU Postgraduate Scholarship
• 2019 Magna Cum Laude Graduate, Outstanding Graduate of SUSTech (top 3%)
• 2019 Excellent Graduation Thesis, Undergraduate Thesis Selection of SUSTech
• 2018 Excellent Student Scholarship of SUSTech
• 2017 National Second Prize, China Undergraduate Mathematical Contest in Modeling (top 4.4%)