Tak Kuen Siu

53 papers C 3Journal 48Unranked 2
YearRankTypeTitle / Venue / Authors
2024 J jnl
Investment-consumption optimization with transaction cost and learning about return predictability.
Eur. J. Oper. Res.
Ning Wang, Tak Kuen Siu
2024 J jnl
Robust reinsurance and investment strategies under principal-agent framework.
Ann. Oper. Res.
Ning Wang, Tak Kuen Siu, Kun Fan
2021 J jnl
Optimal pairs trading with dynamic mean-variance objective.
Math. Methods Oper. Res.
Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak Kuen Siu, Wai-Ki Ching
2020 J jnl
Fuzzy hidden Markov-switching portfolio selection with capital gain tax.
Expert Syst. Appl.
Sini Guo, Wai-Ki Ching, Wai-Keung Li, Tak Kuen Siu, Zhiwen Zhang
2020 J jnl
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences.
Eur. J. Oper. Res.
Jinxia Zhu, Tak Kuen Siu, Hailiang Yang
2019 J jnl
A martingale approach for asset allocation with derivative security and hidden economic risk.
J. Appl. Probab.
Tak Kuen Siu, Jinxia Zhu, Hailiang Yang
2019 J jnl
Continuous-time optimal reinsurance strategy with nontrivial curved structures.
Appl. Math. Comput.
Hui Meng, Pu Liao, Tak Kuen Siu
2017 J jnl
A Higher-order interactive hidden Markov model and its applications.
OR Spectr.
Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang
2017 J jnl
A note on optimal insurance risk control with multiple reinsurers.
J. Comput. Appl. Math.
Hui Meng, Tak Kuen Siu, Hailiang Yang
2017 J jnl
On infectious model for dependent defaults.
Risk Decis. Anal.
Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng
2016 J jnl
A functional Itô's calculus approach to convex risk measures with jump diffusion.
Eur. J. Oper. Res.
Tak Kuen Siu
2016 J jnl
Optimal insurance risk control with multiple reinsurers.
J. Comput. Appl. Math.
Hui Meng, Tak Kuen Siu, Hailiang Yang
2016 J jnl
Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model.
Autom.
Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Tak Kuen Siu
2015 J jnl
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree.
J. Appl. Probab.
Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen
2014 J jnl
A Double HMM approach to Altman Z-scores and credit ratings.
Expert Syst. Appl.
Robert J. Elliott, Tak Kuen Siu, Eric S. Fung
2014 J jnl
Filtering and change point estimation for hidden Markov-modulated Poisson processes.
Appl. Math. Lett.
Robert J. Elliott, Tak Kuen Siu
2014 J jnl
Mean-variance portfolio selection under a constant elasticity of variance model.
Oper. Res. Lett.
Yang Shen, Xin Zhang, Tak Kuen Siu
2014 J jnl
On pricing barrier options with regime switching.
J. Comput. Appl. Math.
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan
2014 J jnl
On reduced-form intensity-based model with 'trigger' events.
J. Oper. Res. Soc.
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
2013 J jnl
A stochastic maximum principle for backward control systems with random default time.
Int. J. Control
Yang Shen, Tak Kuen Siu
2013 J jnl
Credit portfolio management using two-level particle swarm optimization.
Inf. Sci.
Fuqiang Lu, Min Huang, Wai-Ki Ching, Tak Kuen Siu
2013 J jnl
Filtering a Double Threshold Model With Regime Switching.
IEEE Trans. Autom. Control.
Robert J. Elliott, Tak Kuen Siu, John W. Lau
2013 J jnl
On modeling credit defaults: A probabilistic Boolean network approach.
Risk Decis. Anal.
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
2013 J jnl
Option valuation by a self-exciting threshold binomial model.
Math. Comput. Model.
Fei Lung Yuen, Tak Kuen Siu, Hailiang Yang
2013 J jnl
Option valuation under a regime-switching constant elasticity of variance process.
Appl. Math. Comput.
Robert J. Elliott, Leunglung Chan, Tak Kuen Siu
2013 J jnl
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching.
Oper. Res. Lett.
Yang Shen, Tak Kuen Siu
2012 J jnl
A BSDE approach to risk-based asset allocation of pension funds with regime switching.
Ann. Oper. Res.
Tak Kuen Siu
2012 J jnl
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance.
SIAM J. Control. Optim.
Xin Zhang, Robert J. Elliott, Tak Kuen Siu
2012 J jnl
A decomposition method for optimal portfolios with regime-switching and risk constraint.
Risk Decis. Anal.
Jingzhen Liu, Ka Fai Cedric Yiu, Tak Kuen Siu
2012 — conf
Asset Allocation under Regime-Switching Models.
BIFE
Na Song, Wai-Ki Ching, Dong-Mei Zhu, Tak Kuen Siu
2012 J jnl
Markovian forward-backward stochastic differential equations and stochastic flows.
Syst. Control. Lett.
Robert J. Elliott, Tak Kuen Siu
2012 — conf
Optimal Submission Problem in a Limit Order Book with VaR Constraints.
CSO
Na Song, Wai-Ki Ching, Tak Kuen Siu, Ka Fai Cedric Yiu
2012 J jnl
Risk measures and behaviors for bonds under stochastic interest rate models.
Math. Comput. Model.
Na Song, Tak Kuen Siu, Farzad Alavi Fard, Wai-Ki Ching, Eric S. Fung
2012 J jnl
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process.
Math. Methods Oper. Res.
Xiang Lin, Chunhong Zhang, Tak Kuen Siu
2011 J jnl
A BSDE approach to a risk-based optimal investment of an insurer.
Autom.
Robert J. Elliott, Tak Kuen Siu
2011 J jnl
A Markovian infectious model for dependent default risk.
Int. J. Intell. Eng. Informatics
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu
2011 J jnl
A distributed decision making model for risk management of virtual enterprise.
Expert Syst. Appl.
Min Huang, Fuqiang Lu, Wai-Ki Ching, Tak Kuen Siu
2011 J jnl
An M-ary detection approach for asset allocation.
Comput. Math. Appl.
Robert J. Elliott, Tak Kuen Siu
2011 J jnl
Characteristic functions and option valuation in a Markov chain market.
Comput. Math. Appl.
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
2011 J jnl
Control of discrete-time HMM partially observed under fractional Gaussian noises.
Syst. Control. Lett.
Robert J. Elliott, Tak Kuen Siu
2011 J jnl
On filtering and estimation of a threshold stochastic volatility model.
Appl. Math. Comput.
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
2011 J jnl
Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance.
SIAM J. Control. Optim.
Hui Meng, Tak Kuen Siu
2010 J jnl
A Markovian network model for default risk management.
Int. J. Intell. Eng. Informatics
Wai-Ki Ching, Ho-Yin Leung, Hao Jiang, Liang Sun, Tak Kuen Siu
2010 J jnl
Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows.
Appl. Math. Comput.
Tak Kuen Siu
2010 J jnl
Filtering a Markov Modulated Random Measure.
IEEE Trans. Autom. Control.
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
2010 J jnl
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy.
Ann. Oper. Res.
Robert J. Elliott, Tak Kuen Siu
2010 J jnl
Optimal portfolios with regime switching and value-at-risk constraint.
Autom.
Ka Fai Cedric Yiu, Jingzhen Liu, Tak Kuen Siu, Wai-Ki Ching
2010 J jnl
Portfolio Selection in the Enlarged Markovian Regime-Switching Market.
SIAM J. Control. Optim.
Xin Zhang, Tak Kuen Siu, Qingbin Meng
2009 C conf
A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization.
ISCAS
Robert J. Elliott, Tak Kuen Siu
2009 J jnl
A high-order Markov-switching model for risk measurement.
Comput. Math. Appl.
Tak Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng, Xun Li
2008 C conf
A Markovian regime-switching stochastic differential game for portfolio risk minimization.
ACC
Robert J. Elliott, Tak Kuen Siu
2007 C conf
Insurance Claims Modulated by a Hidden Marked Point Process.
ACC
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
2007 J jnl
Pricing Exotic Options under a High-Order Markovian Regime Switching Model.
Adv. Decis. Sci.
Wai-Ki Ching, Tak Kuen Siu, Limin Li