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subject:"Anlageverhalten"
subject:"Portfolio-Management"
~person:"Wong, Hoi Ying"
~subject:"Hedging"
~type:"article"
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Anlageverhalten
Portfolio-Management
Hedging
Theorie
29
Theory
29
Portfolio selection
17
Stochastic process
8
Stochastischer Prozess
8
Cointegration
7
Kointegration
7
Mortality
6
Sterblichkeit
6
CAPM
4
Option pricing theory
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Optionspreistheorie
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Risiko
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Risk
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Time consistency
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Time-inconsistency
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Zeitkonsistenz
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Erwartungsnutzen
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Robust statistics
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Analysis
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Entscheidung unter Unsicherheit
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Korrelation
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Life insurance
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Long-range dependence
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19
Aufsatz in Zeitschrift
19
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English
19
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Wong, Hoi Ying
Broll, Udo
76
Fabozzi, Frank J.
70
Lien, Da-hsiang Donald
56
Kit, Pong Wong
45
Korn, Ralf
31
Wahl, Jack E.
30
Escobar, Marcos
27
Markowitz, Harry
27
Wong, Wing Keung
27
Li, Duan
25
Prigent, Jean-Luc
23
Satchell, Stephen
23
Zagst, Rudi
22
He, Xue-zhong
21
Levy, Haim
21
Maurer, Raimond
21
Račev, Svetlozar T.
21
Gollier, Christian
20
Jarrow, Robert A.
19
Lioui, Abraham
19
Schenk-Hoppé, Klaus Reiner
19
Forsyth, Peter A.
18
Hens, Thorsten
18
Platen, Eckhard
18
Cvitanić, Jakša
17
Madan, Dilip B.
17
Wang, Ruodu
17
Chen, Zhiping
16
Pham, Huyên
16
Post, Thierry
16
Sass, Jörn
16
Li, Zhongfei
15
Lo, Andrew W.
15
Rüschendorf, Ludger
15
Schwartz, Eduardo S.
15
Vanduffel, Steven
15
Yao, Haixiang
15
Zariphopoulou-Souganidis, Thaleia
15
Alghalith, Moawia
14
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Insurance / Mathematics & economics
6
European journal of operational research : EJOR
2
IMA journal of management mathematics
2
Operations research letters
2
Economic modelling
1
Finance and stochastics
1
Finance research letters
1
Mathematics and financial economics
1
Quantitative finance
1
Scandinavian actuarial journal
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The journal of futures markets
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ECONIS (ZBW)
19
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1
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Wang, Ling
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Scandinavian actuarial journal
2023
(
2023
)
2
,
pp. 123-152
Persistent link: https://www.econbiz.de/10014325034
Saved in:
2
Portfolio liquidation with delayed information
Yan, Tingjin
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Economic modelling
126
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
Saved in:
3
Pairs trading under delayed cointegration
Yan, Tingjin
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1627-1648
Persistent link: https://www.econbiz.de/10013367938
Saved in:
4
Volterra mortality model : actuarial valuation and risk management with long-range dependence
Wang, Ling
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012482737
Saved in:
5
Time-consistent longevity hedging with long-range dependence
Wang, Ling
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012649205
Saved in:
6
Robust state-dependent mean-variance portfolio selection : a closed-loop approach
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 529-561
Persistent link: https://www.econbiz.de/10012585986
Saved in:
7
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
Saved in:
8
Lasso-based simulation for high-dimensional multi-period portfolio optimization
Li, Zhongyu
;
Tsang, Ka Ho
;
Wong, Hoi Ying
- In:
IMA journal of management mathematics
31
(
2020
)
3
,
pp. 257-280
Persistent link: https://www.econbiz.de/10012258670
Saved in:
9
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin
;
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
Saved in:
10
A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 754-771
Persistent link: https://www.econbiz.de/10011987586
Saved in:
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