Research Output per year

## Research Outputs

## Pairs trading with illiquidity and position limits

FENG, M., CHIU, M. C. & WONG, H. Y., Jul 2019, In : Journal of Industrial and Management Optimization.Research output: Contribution to journal › Article

## 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. 977-1005Research output: Contribution to journal › Article

## 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. 632-665Research output: Contribution to journal › Article

## 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. 141-154Research output: Contribution to journal › Article

## 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. 207-227Research output: Contribution to journal › Article

## Robust dynamic pairs trading with cointegration

CHIU, M. C. & WONG, H. Y., 2018, In : Operations Research Letters. 46, 2, p. 225-232Research output: Contribution to journal › Article

## 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 proceeding › Chapter

## Big data challenges of high-dimensional continuous-time mean-variance portfolio selection and a remedy

CHIU, M. C., PUN, C. S. & WONG, H. Y., Aug 2017, In : Risk Analysis. 37, 8, p. 1532-1549Research output: Contribution to journal › Article

## Dual-curve Hull–White interest rate model with stochastic volatility

CHIU, M. C., LIANG, W. & WONG, H. Y., 2017, In : Japan Journal of Industrial and Applied Mathematics. 34, 3, p. 711-745Research output: Contribution to journal › Article

## FFT network for interest rate derivatives with Lévy processes

CHIU, M. C., XU, Z. & WONG, H. Y., 2017, In : Japan Journal of Industrial and Applied Mathematics. 34, 3, p. 675-710Research output: Contribution to journal › Article

## Managing mortality risk with longevity bonds when mortality rates are cointegrated

WONG, T. W., CHIU, M. C. & WONG, H. Y., 2017, In : Journal of Risk and Insurance. 84, 3, p. 987-1023Research output: Contribution to journal › Article

## Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration

KWOK, K. Y., CHIU, M. C. & WONG, H. Y., Nov 2016, In : Insurance: Mathematics and Economics. 71, p. 353-366Research output: Contribution to journal › Article

## Commodity derivatives pricing with cointegration and stochastic covariances

CHIU, M. C., WONG, H. Y. & ZHAO, J., 2015, In : European Journal of Operational Research. 246, 2, p. 476-486Research output: Contribution to journal › Article

## Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies

CHIU, M. C. & WONG, H. Y., 2015, In : Journal of Computational and Applied Mathematics. 290, p. 516-534Research output: Contribution to journal › Article

## Mean-variance asset-liability management with asset correlation risk and insurance liabilities

CHIU, M. C. & WONG, H. Y., Nov 2014, In : Insurance: Mathematics and Economics. 59, p. 300-310Research output: Contribution to journal › Article

## Mean-variance portfolio selection with correlation risk

CHIU, M. C. & WONG, H. Y., Jun 2014, In : Journal of Computational and Applied Mathematics. 263, p. 432-444Research output: Contribution to journal › Article

## Optimal investment for insurers with the extended CIR interest rate model

CHIU, M. C. & WONG, H. Y., 2014, In : Abstract and Applied Analysis. 2014, 129474.Research output: Contribution to journal › Article

## Time-consistent mean-variance hedging of longevity risk: Effect of cointegration

WONG, T. W., CHIU, M. C. & WONG, H. Y., May 2014, In : Insurance: Mathematics and Economics. 56, p. 56-67Research output: Contribution to journal › Article

## Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility

WONG, H. Y. & CHIU, M. C., 2013, In : Abstract and Applied Analysis. 2013, 682524.Research output: Contribution to journal › Article

## Mean-variance principle of managing cointegrated risky assets and random liabilities

CHIU, M. C. & WONG, H. Y., Jan 2013, In : Operations Research Letters. 41, 1, p. 98-106Research output: Contribution to journal › Article

## Optimal investment for an insurer with cointegrated assets: CRRA utility

CHIU, M. C. & WONG, H. Y., Jan 2013, In : Insurance: Mathematics and Economics. 52, 1, p. 52-64Research output: Contribution to journal › Article

## Mean–variance asset–liability management: Cointegrated assets and insurance liability

CHIU, M. C. & WONG, H. Y., Dec 2012, In : European Journal of Operational Research. 223, 3, p. 785-793Research output: Contribution to journal › Article

## Roy's safety-first portfolio principle in financial risk management of disastrous events

CHIU, M. C., WONG, H. Y. & LI, D., Nov 2012, In : Risk Analysis. 32, 11, p. 1856-1872Research output: Contribution to journal › Article

## Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

CHIU, M. C., LO, Y. W. & WONG, H. Y., Jul 2011, In : Operations Research Letters. 39, 4, p. 289-295Research output: Contribution to journal › Article

## Mean–variance portfolio selection of cointegrated assets

CHIU, M. C. & WONG, H. Y., Aug 2011, In : Journal of Economic Dynamics and Control. 35, 8, p. 1369-1385Research output: Contribution to journal › Article

## Asset-liability management under the safety-first principle

CHIU, M. C. & LI, D., Dec 2009, In : Journal of Optimization Theory and Applications. 143, 3, p. 455-478Research output: Contribution to journal › Article

## Invariant factors of cartesian product of graphs and one point unions of graphs

SHIU, W. C. & CHIU, M. C., 2008, In : Congressus Numerantium. 191, p. 173-184Research output: Contribution to journal › Article

## Asset and liability management under a continuous-time mean-variance optimization framework

CHIU, M. C. & LI, D., 01 Dec 2006, In : Insurance: Mathematics and Economics. 39, 3, p. 330-355Research output: Contribution to journal › Article