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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

Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Wang, Ning; Zhuo, Jin; Siu, Tak Kuen; Qiu, Ming - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 832-865

Persistent link: https://www.econbiz.de/10012696889

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438

Persistent link: https://www.econbiz.de/10009776434

Option valuation with a discrete-time double Markovian regime-switching model

Siu, Tak Kuen; Fung, Eric S.; Ng, Michael K. - In: Applied mathematical finance 18 (2011) 5/6, pp. 473-490

Persistent link: https://www.econbiz.de/10009422572

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences

Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang - In: European journal of operational research : EJOR 285 (2020) 1, pp. 66-80

Persistent link: https://www.econbiz.de/10012239478

Trading strategy with stochastic volatility in a limit order book market

Yang, Qing-Qing; Ching, Wai Ki; Gu, Jiawen; Siu, Tak Kuen - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 277-301

Persistent link: https://www.econbiz.de/10012285400

Robust reinsurance contracts with risk constraint

Wang, Ning; Siu, Tak Kuen - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 419-453

Persistent link: https://www.econbiz.de/10012262748

Optimal reinsurance policies with two reinsurers in continuous time

Meng, Hui; Zhou, Ming; Siu, Tak Kuen - In: Economic modelling 59 (2016), pp. 182-195

Persistent link: https://www.econbiz.de/10011647797

Optimal investment and consumption in a continuous-time co-integration model

Shen, Yang; Siu, Tak Kuen - In: IMA journal of management mathematics 28 (2017) 4, pp. 501-530

Persistent link: https://www.econbiz.de/10011845245

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