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Efficient social distancing during the COVID-19 pandemic : integrating economic and public health considerations
Chen, Kexin; Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 304 (2023) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10013454174
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Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
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Robust investment-reinsurance optimization with multiscale stochastic volatility
Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 62 (2015), pp. 245-256
Persistent link: https://www.econbiz.de/10011312060
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Robust non-zero-sum stochastic differential reinsurance game
Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 68 (2016), pp. 169-177
Persistent link: https://www.econbiz.de/10011492656
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Robust state-dependent mean-variance portfolio selection : a closed-loop approach
Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Finance and stochastics 25 (2021) 3, pp. 529-561
Persistent link: https://www.econbiz.de/10012585986
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Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
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Non-zero-sum reinsurance games subject to ambiguous correlations
Pun, Chi Seng; Siu, Chi Chung; Wong, Hoi Ying - In: Operations research letters 44 (2016) 5, pp. 578-586
Persistent link: https://www.econbiz.de/10011596475
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A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771
Persistent link: https://www.econbiz.de/10011987586
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Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset
Chen, Kexin; Wong, Hoi Ying - In: Finance research letters 29 (2019), pp. 184-192
Persistent link: https://www.econbiz.de/10012418589
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Optimal retirement under partial information
Chen, Kexin; Jeon, Junkee; Wong, Hoi Ying - In: Mathematics of operations research 47 (2022) 3, pp. 1802-1832
Persistent link: https://www.econbiz.de/10013374972