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Pricing dynamic fund protection under hidden Markov models

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: IMA journal of management mathematics 29 (2018) 1, pp. 99-117

Persistent link: https://www.econbiz.de/10011858973

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

Longevity bond pricing under stochastic interest rate and mortality with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 114-123

Persistent link: https://www.econbiz.de/10009718990

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://www.econbiz.de/10010404397

A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551