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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

A BSDE approach to risk-based asset allocation of pension funds with regime switching

Siu, Tak Kuen - 2012

Persistent link: https://www.econbiz.de/10009710207

Bayesian nonlinear expectation for time series modelling and its application to Bitcoin

Siu, Tak Kuen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 505-537

Persistent link: https://www.econbiz.de/10014226298

Markov Chains : Models, Algorithms and Applications

Ching, Wai Ki - 2013 - 2nd ed. 2013

Introduction -- Manufacturing and Re-manufacturing Systems -- A Hidden Markov Model for Customer Classification -- Markov Decision Processes for Customer Lifetime Value -- Higher-order Markov Chains -- Multivariate Markov Chains -- Hidden Markov Chains

Persistent link: https://www.econbiz.de/10014016579

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

A mixture price trend model for long-term risk management

Fung, Eric S.; Ching, Wai Ki; Siu, Tak Kuen - In: Business intelligence in economic forecasting : …, (pp. 157-173). 2010

Persistent link: https://www.econbiz.de/10003994046

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

Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension

Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Managerial finance 37 (2011) 11, pp. 1025-1047

Persistent link: https://www.econbiz.de/10009388893

On supply chain coordination for false failure returns : a quantity discount contract approach

Huang, Ximin; Choi, Sin-man; Ching, Wai Ki; Siu, Tak Kuen; … - In: International journal of production economics 133 (2011) 2, pp. 634-644

Persistent link: https://www.econbiz.de/10009299866