Mei Choi Chiu

11 papers Journal 11
YearRankTypeTitle / Venue / Authors
2023 J jnl
Optimal expansion of business opportunity.
Eur. J. Oper. Res.
Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong
2019 J jnl
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy.
SIAM J. Financial Math.
Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong
2019 J jnl
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration.
SIAM J. Financial Math.
Kexin Chen, Mei Choi Chiu, Hoi Ying Wong
2018 J jnl
Dynamic safety first expected utility model.
Eur. J. Oper. Res.
Mei Choi Chiu, Hoi Ying Wong, Jing Zhao
2018 J jnl
Robust dynamic pairs trading with cointegration.
Oper. Res. Lett.
Mei Choi Chiu, Hoi Ying Wong
2015 J jnl
Commodity derivatives pricing with cointegration and stochastic covariances.
Eur. J. Oper. Res.
Mei Choi Chiu, Hoi Ying Wong, Jing Zhao
2015 J jnl
Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies.
J. Comput. Appl. Math.
Mei Choi Chiu, Hoi Ying Wong
2014 J jnl
Mean-variance portfolio selection with correlation risk.
J. Comput. Appl. Math.
Mei Choi Chiu, Hoi Ying Wong
2013 J jnl
Mean-variance principle of managing cointegrated risky assets and random liabilities.
Oper. Res. Lett.
Mei Choi Chiu, Hoi Ying Wong
2012 J jnl
Mean-variance asset-liability management: Cointegrated assets and insurance liability.
Eur. J. Oper. Res.
Mei Choi Chiu, Hoi Ying Wong
2011 J jnl
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility.
Oper. Res. Lett.
Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong