Celine Hoe, Ph.D.

Associate Professor of Finance

A Conversation with Dr. Hoe

How do you help your students?

As an Associate Professor of Finance in the Department of Accounting and Finance, it is important to effectively deliver professional knowledge to students. I believe that an effective instructor helps students acquire concepts and learning skills to facilitate further learning and thinking, and also draws from them their best efforts. In designing courses, I try to envision them from the student's perspective and work for the purpose of being able to encourage maximal learning.

Describe a project you are working on or have completed.

The project, “A Risk Extended Version of Merton's Optimal Consumption and Portfolio Selection”, studies the dynamic non-myopic portfolio behavior of a risk-controlled consumer-investor. The model integrates intermediate consumption, portfolio selections and utility-risk management in a unified framework. The model theoretically derives the expected terminal wealth depending on the different levels of variance risk. It allows a consumer-investor to choose a proper level of variance risk considering her risk aptitude by inputting a target expected terminal wealth. The model reveals that a consumer-investor does not control variance risk at the expense of consumption. In fact, a consumer-investor enjoys at least the same consumption rate as if she were not to control the variance risk. The sound and theoretically supported consumption-investment policies suggested by the model could benefit individual investors as well as institutional investors, including but not limited to portfolio managers and wealth management professionals.

What else would you like to share about yourself or your A&M-Commerce experience?

One of my research interests focuses on the use of real options, which aims at adapting techniques from financial engineering in project risk management. The integration of real options with game theory well captures the competitive dynamics in the real world. I have had experiences in applying the techniques in a pharmaceutical company to help the company value the product pipelines, and value and design licensing agreements.

Educational Background

• Ph.D., Finance, University of Texas at Arlington
• MBA, Finance, George Washington University
• B.A., International Trade/Business, Fujen Catholic University

Activities and Awards

• Professional Membership: American Finance Association; Financial Management Association

Research Interests

• Asset Pricing
• Real Options
• Risk Management
• Stochastic Optimal Control in Finance
• Mean Field Type Control
• Mean Field Games

Selected Publications

Bensoussan, A., Hoe, C., Kim, J. & Yan, Z. (2021) A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection, Operations Research, Accepted.

Bensoussan, A., Hoe, C.& Yan, Z. (2019). A Mean-Variance Approach to Capital Investment Optimization. SIAM Journal on Financial Mathematics, 10 (1), 156-180.

Hoe, C., Yan, Z. & Bensoussan, A. (2018) Technical Note: The Impact of Competitive Advantage on the Investment Timing in the Stackelberg Leader-Follower Game, Engineering Economist, 63(3), 236-249.

Bensoussan, A., Hoe, C., Yan, Z. & Yin, G. (2017) Real Options with Competition and Regime Switching. Mathematical Finance, 27(1), 224-250.