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Mean-variance principle of managing cointegrated risky assets and random liabilities
Chiu, Mei Choi; Wong, Hoi Ying - In: Operations research letters 41 (2013) 1, pp. 98-106
Persistent link: https://www.econbiz.de/10009720178
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Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
Chiu, Mei Choi; Lo, Yu Wai; Wong, Hoi Ying - In: Operations research letters 39 (2011) 4, pp. 289-295
Persistent link: https://www.econbiz.de/10009295639
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Robust dynamic pairs trading with cointegration
Chiu, Mei Choi; Wong, Hoi Ying - In: Operations research letters 46 (2018) 2, pp. 225-232
Persistent link: https://www.econbiz.de/10011824890
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Mean-variance principle of managing cointegrated risky assets and random liabilities
Chiu, Mei Choi; Wong, Hoi Ying - In: Operations research letters 41 (2013) 1, pp. 98-106
Persistent link: https://www.econbiz.de/10010067722
Cover Image
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
Chiu, Mei Choi; Lo, Yu Wai; Wong, Hoi Ying - In: Operations research letters 39 (2011) 4, pp. 289-296
Persistent link: https://www.econbiz.de/10009181181
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A note on monotone mean-variance preferences for continuous processes
Strub, Moris S.; Li, Duan - In: Operations research letters 48 (2020) 4, pp. 397-400
Persistent link: https://www.econbiz.de/10012294747
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A nonlinear Lagrangian dual for integer programming
Xu, Yifan; Li, Duan - In: Operations research letters 30 (2002) 6, pp. 401-407
Persistent link: https://www.econbiz.de/10006825502