Mei Choi CHIU
Mei Choi CHIU
Education University of Hong Kong
Verified email at eduhk.hk - Homepage
Title
Cited by
Cited by
Year
Asset and liability management under a continuous-time mean–variance optimization framework
MC Chiu, D Li
Insurance: Mathematics and Economics 39 (3), 330-355, 2006
1662006
Mean–variance portfolio selection of cointegrated assets
MC Chiu, HY Wong
Journal of Economic Dynamics and Control 35 (8), 1369-1385, 2011
862011
Mean–variance asset–liability management: Cointegrated assets and insurance liability
MC Chiu, HY Wong
European Journal of Operational Research 223 (3), 785-793, 2012
542012
Time-consistent mean–variance hedging of longevity risk: Effect of cointegration
TW Wong, MC Chiu, HY Wong
Insurance: Mathematics and Economics 56, 56-67, 2014
432014
Asset-liability management under the safety-first principle
MC Chiu, D Li
Journal of optimization theory and applications 143 (3), 455, 2009
432009
Dynamic cointegrated pairs trading: Mean–variance time-consistent strategies
MC Chiu, HY Wong
Journal of Computational and Applied Mathematics 290, 516-534, 2015
41*2015
Roy’s safety‐first portfolio principle in financial risk management of disastrous events
MC Chiu, HY Wong, D Li
Risk Analysis: An International Journal 32 (11), 1856-1872, 2012
342012
Mean-variance principle of managing cointegrated risky assets and random liabilities
MC Chiu, HY Wong
Operations Research Letters 41 (1), 98-106, 2013
322013
Mean–variance portfolio selection with correlation risk
MC Chiu, HY Wong
Journal of Computational and Applied Mathematics 263, 432-444, 2014
282014
Commodity derivatives pricing with cointegration and stochastic covariances
MC Chiu, HY Wong, J Zhao
European Journal of Operational Research 246 (2), 476-486, 2015
272015
Optimal investment for an insurer with cointegrated assets: CRRA utility
MC Chiu, HY Wong
Insurance: Mathematics and Economics 52 (1), 52-64, 2013
272013
Big Data Challenges of High‐Dimensional Continuous‐Time Mean‐Variance Portfolio Selection and a Remedy
MC Chiu, CS Pun, HY Wong
Risk Analysis 37 (8), 1532-1549, 2017
262017
Mean–variance asset–liability management with asset correlation risk and insurance liabilities
MC Chiu, HY Wong
Insurance: Mathematics and Economics 59, 300-310, 2014
252014
Managing mortality risk with longevity bonds when mortality rates are cointegrated
TW Wong, MC Chiu, HY Wong
Journal of Risk and Insurance 84 (3), 987-1023, 2017
172017
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
MC Chiu, YW Lo, HY Wong
Operations Research Letters 39 (4), 289-295, 2011
152011
Time-consistent mean-variance pairs-trading under regime-switching cointegration
K Chen, MC Chiu, HY Wong
SIAM Journal on Financial Mathematics 10 (2), 632-665, 2019
72019
Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration
KY Kwok, MC Chiu, HY Wong
Insurance: Mathematics and Economics 71, 353-366, 2016
72016
Optimal investment for insurers with correlation risk: risk aversion and investment horizon
MC Chiu, HY Wong
IMA Journal of Management Mathematics 29 (2), 207-227, 2018
62018
Robust dynamic pairs trading with cointegration
MC Chiu, HY Wong
Operations Research Letters 46 (2), 225-232, 2018
62018
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy
K Chen, MC Chiu, YH Shin, HY Wong
SIAM Journal on Financial Mathematics 10 (4), 977-1005, 2019
42019
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