• 376 Citations
  • 11 h-Index
20062019

Research output per year

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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

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Research Outputs

  • 376 Citations
  • 11 h-Index
  • 27 Article
  • 1 Chapter
  • 1 Paper
  • 1 Other contribution

Pairs trading with illiquidity and position limits

FENG, M., CHIU, M. C. & WONG, H. Y., 2019, (Accepted/In press) In : Journal of Industrial and Management Optimization.

Research output: Contribution to journalArticle

  • Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy

    CHEN, K., CHIU, M. C., SHIN, Y. H. & WONG, H. Y., 2019, In : SIAM Journal on Financial Mathematics. 10, 4, p. 977-1005

    Research output: Contribution to journalArticle

  • 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

  • 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

  • 1 Citation (Scopus)

    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