If you made any changes in Pure these will be visible here soon.

Personal profile

Personal profile

Chinese Name: 徐美彩

Variants: Chiu, M. C.

Mei Choi obtained her BSc degree in Mathematical Sciences from Hong Kong Baptist University, MPhil degree in Mathematics from Hong Kong University of Science and Technology (HKUST), and PhD degree in Systems Engineering and Engineering Management (SEEM) from the Chinese University of Hong Kong (CUHK). Her work experience includes postdoctoral fellowship at SEEM of CUHK, research associate at Department of Statistics of CUHK, visiting scholar at Department of Mathematics of HKUST, and part-time consultant for the MSc degree program in Financial Mathematics and Statistics of HKUST. She joined Hong Kong Institute of Education (now The Education University of Hong Kong) as a lecturer in 2012.

Research interests

Mei Choi is interested in the application of stochastic optimal control, stochastic processes and probability theory to Mathematical Finance and Operational Research.

Professional information

Scopus ID: 15044057200

Fingerprint Dive into the research topics where Mei Choi CHIU is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Cointegration Mathematics
Stochastic Volatility Mathematics
Asset-liability Management Mathematics
Optimal Investment Mathematics
Continuous Time Mathematics
Insurance Mathematics
Interest Rate Models Mathematics
Portfolio Selection Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Outputs 2006 2019

  • 371 Citations
  • 11 h-Index
  • 25 Article
  • 1 Chapter
  • 1 Paper
  • 1 Other contribution

Time-consistent mean-variance pairs-trading under regime-switching cointegration

CHEN, K., CHIU, M. C. & WONG, H. Y., 2019, In : SIAM Journal on Financial Mathematics. 10, 2, p. 632-665

Research output: Contribution to journalArticle

Regime Switching
Trading Strategies
Empirical Analysis

Dynamic safety first expected utility model

CHIU, M. C., WONG, H. Y. & ZHAO, J., Nov 2018, In : European Journal of Operational Research. 271, 1, p. 141-154

Research output: Contribution to journalArticle

Expected Utility
Trading Strategies
Optimal Strategy

Optimal investment for insurers with correlation risk: Risk aversion and investment horizon

CHIU, M. C. & WONG, H. Y., Apr 2018, In : IMA Journal of Management Mathematics. 29, 2, p. 207-227

Research output: Contribution to journalArticle

Optimal Investment
Risk Aversion
Stochastic Volatility
Uniform Integrability
4 Citations (Scopus)

Robust dynamic pairs trading with cointegration

CHIU, M. C. & WONG, H. Y., 2018, In : Operations Research Letters. 46, 2, p. 225-232

Research output: Contribution to journalArticle

Penalty Function
Closed-form Solution
Probability Measure
3 Citations (Scopus)

Asset-liability management in continuous-time: Cointegration and exponential utility

CHIU, M. C., 2017, Optimization and control for systems in the big-data era: Theory and applications. CHOI, T-M., GAO, J., LAMBERT, J. H., NG, C-K. & WANG, J. (eds.). Cham: Springer, p. 85-100

Research output: Chapter in Book/Report/Conference proceedingChapter

Asset-liability management
Exponential utility
Continuous time