• 387 Citations
  • 11 h-Index
20062019

Research output per year

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Research Outputs

  • 387 Citations
  • 11 h-Index
  • 27 Article
  • 1 Chapter
  • 1 Paper
  • 1 Other contribution
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Article
2019

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 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

2018

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

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

4 Citations (Scopus)
2017

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. 1532-1549

Research output: Contribution to journalArticle

10 Citations (Scopus)

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. 711-745

Research output: Contribution to journalArticle

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. 675-710

Research output: Contribution to journalArticle

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. 987-1023

Research output: Contribution to journalArticle

7 Citations (Scopus)
2016

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. 353-366

Research output: Contribution to journalArticle

6 Citations (Scopus)
2015

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. 476-486

Research output: Contribution to journalArticle

10 Citations (Scopus)

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. 516-534

Research output: Contribution to journalArticle

12 Citations (Scopus)
2014

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. 300-310

Research output: Contribution to journalArticle

14 Citations (Scopus)

Mean-variance portfolio selection with correlation risk

CHIU, M. C. & WONG, H. Y., Jun 2014, In : Journal of Computational and Applied Mathematics. 263, p. 432-444

Research output: Contribution to journalArticle

11 Citations (Scopus)

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 journalArticle

2 Citations (Scopus)

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. 56-67

Research output: Contribution to journalArticle

21 Citations (Scopus)
2013
2 Citations (Scopus)

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. 98-106

Research output: Contribution to journalArticle

22 Citations (Scopus)

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. 52-64

Research output: Contribution to journalArticle

16 Citations (Scopus)
2012

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. 785-793

Research output: Contribution to journalArticle

37 Citations (Scopus)

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. 1856-1872

Research output: Contribution to journalArticle

18 Citations (Scopus)
2011

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. 289-295

Research output: Contribution to journalArticle

11 Citations (Scopus)

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. 1369-1385

Research output: Contribution to journalArticle

48 Citations (Scopus)
2009

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. 455-478

Research output: Contribution to journalArticle

19 Citations (Scopus)
2008

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. 173-184

Research output: Contribution to journalArticle

2006

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. 330-355

Research output: Contribution to journalArticle

113 Citations (Scopus)