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Portfolio selection with parameter uncertainty under maxmin mean-variance criterion

Yu, Xingying; Shen, Yang; Li, Xiang; Fan, Kun - In: Operations research letters 48 (2020) 6, pp. 720-724

Persistent link: https://www.econbiz.de/10012430078

A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551

The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights

Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014

Persistent link: https://www.econbiz.de/10012500918

Optimal payout strategies when Bruno de Finetti meets model uncertainty

Feng, Yang; Siu, Tak Kuen; Zhu, Jinxia - In: Insurance : mathematics and economics 116 (2024), pp. 148-164

Persistent link: https://www.econbiz.de/10015066799

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

Elliott, Robert J.; Siu, Tak Kuen - 2010

Persistent link: https://www.econbiz.de/10003964890

Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen - In: Mathematical methods of operations research 75 (2012) 1, pp. 83-100

Persistent link: https://www.econbiz.de/10009490707

Optimal dividends with debts and nonlinear insurance risk processes

Meng, Hui; Siu, Tak Kuen; Yang, Hailiang - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 110-121

Persistent link: https://www.econbiz.de/10009785414

A decomposition method for optimal portfolios with regime-switching and risk constraint

Liu, Jingzhen; Yiu, Ka-fai Cedric; Siu, Tak Kuen - In: Risk and decision analysis 3 (2012) 4, pp. 269-276

Persistent link: https://www.econbiz.de/10009704597

Optimal investment and reinsurance of an insurer with model uncertainty

Zhang, Xin; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 81-88

Persistent link: https://www.econbiz.de/10009517594

A PDE approach for risk measures for derivatives with regime switching

Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10003589415