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Optimal pairs trading with dynamic mean-variance objective

Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak Kuen; … - In: Mathematical methods of operations research : ZOR 94 (2021) 1, pp. 145-168

Persistent link: https://www.econbiz.de/10012618990

Modeling credit risk with hidden Markov default intensity

Yu, Feng-Hui; Lu, Jiejun; Gu, Jia-Wen; Ching, Wai Ki - In: Computational economics 54 (2019) 3, pp. 1213-1229

Persistent link: https://www.econbiz.de/10012134519

On reduced-form intensity-based model with "trigger" events

Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Henry - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 331-339

Persistent link: https://www.econbiz.de/10010251709

On modeling credit defaults : a probabilistic Boolean network approach

Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Harry - In: Risk and decision analysis 4 (2013) 2, pp. 119-129

Persistent link: https://www.econbiz.de/10009782545

Adaptive online portfolio selection with transaction costs

Guo, Sini; Gu, Jia-Wen; Ching, Wai Ki - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1074-1086

Persistent link: https://www.econbiz.de/10012622437

Optimal Investment for a Dc Pension Plan Under VAR Regulations and Minimum Insurance with Inflation Risk

WU, Chufang; Gu, Jia-Wen; Ching, Wai-Ki; So, Chi Chiu - 2022

In this paper, we study an optimal investment problem under joint initial-time and intermediate-time Value-at-Risk regulations and a portfolio insurance (PI) constraint on terminal wealth faced by a defined-contribution pension fund manager. The objective is to maximize the expected utility from...

Persistent link: https://www.econbiz.de/10013292442

On optimal pricing model for multiple dealers in a competitive market

Yang, Qing-Qing; Gu, Jia-Wen; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 1, pp. 397-431

Persistent link: https://www.econbiz.de/10012134689

Adaptive online mean-variance portfolio selection with transaction costs

Guo, Sini; Gu, Jia-Wen; Ching, Wai Ki; Lyu, Benmeng - In: Quantitative finance 24 (2024) 1, pp. 59-82

Persistent link: https://www.econbiz.de/10014551906

Online portfolio selection with state-dependent price estimators and transaction costs

Guo, Sini; Gu, Jia-Wen; Fok, Christopher H.; Ching, Wai Ki - In: European journal of operational research : EJOR 311 (2023) 1, pp. 333-353

Persistent link: https://www.econbiz.de/10014336479

Viscosity solution for optimal liquidation problems with randomly-terminated horizon

Yang, Qing-Qing; Ching, Wai Ki; Gu, Jia-wen; Wong, Tak Kwong - In: Finance research letters 61 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014491014