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Siu, Tak Kuen
17
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5
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4
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3
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2
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On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alex
- In:
Economic modelling
27
(
2010
)
3
,
pp. 678-686
Persistent link: https://www.econbiz.de/10003995557
Saved in:
2
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10003964890
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3
A BSDE approach to risk-based asset allocation of pension funds with regime switching
Siu, Tak Kuen
-
2012
Persistent link: https://www.econbiz.de/10009710207
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4
On valuing perticipating life insurance contracts with conditional heteroscedasticity
Siu, Tak Kuen
;
Lau, John W.
;
Yang, Hailiang
- In:
Asia-Pacific financial markets
14
(
2007
)
3
,
pp. 255-275
Persistent link: https://www.econbiz.de/10003705911
Saved in:
5
An improved multivariate Markov chain model for credit risk
Ching, Wai Ki
;
Siu, Tak Kuen
;
Li, Li-min
;
Jiang, Hao
; …
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
4
,
pp. 83-106
Persistent link: https://www.econbiz.de/10003927496
Saved in:
6
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang
;
Zhang, Chunhong
;
Siu, Tak Kuen
- In:
Mathematical methods of operations research
75
(
2012
)
1
,
pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
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7
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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8
A decomposition method for optimal portfolios with regime-switching and risk constraint
Liu, Jingzhen
;
Yiu, Ka-fai Cedric
;
Siu, Tak Kuen
- In:
Risk and decision analysis
3
(
2012
)
4
,
pp. 269-276
Persistent link: https://www.econbiz.de/10009704597
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9
A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen
- In:
European journal of operational research : EJOR
250
(
2016
)
3
,
pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
Saved in:
10
Capital requirements and optimal investment with solvency probability constraints
Asimit, Alexandru V.
;
Badescu, Alexandru M.
;
Siu, Tak Kuen
- In:
IMA journal of management mathematics
26
(
2015
)
4
,
pp. 345-375
Persistent link: https://www.econbiz.de/10011515664
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