Hoi Ying Wong

Publication Activity (10 Years)

Years Active: 2001-2023
Publications (10 Years): 19

Top Topics

Portfolio Selection

Portfolio Optimization

Top Venues

SIAM J. Financial Math.

Eur. J. Oper. Res.

Oper. Res. Lett.

J. Comput. Appl. Math.

Publications

Kyunghyun Park, Hoi Ying Wong
Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space. SIAM J. Control. Optim. 61 (3) (2023)
Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong
Optimal expansion of business opportunity. Eur. J. Oper. Res. 309 (1) (2023)
Jie Yin, Hoi Ying Wong
Deep LOB trading: Half a second please! Expert Syst. Appl. 213 (Part) (2023)
Kexin Chen, Chi Seng Pun, Hoi Ying Wong
Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations. Eur. J. Oper. Res. 304 (1) (2023)
Kexin Chen, Junkee Jeon, Hoi Ying Wong
Optimal Retirement Under Partial Information. Math. Oper. Res. 47 (3) (2022)
Tingjin Yan, Hoi Ying Wong
Equilibrium pairs trading under delayed cointegration. Autom. 144 (2022)
Kyunghyun Park, Hoi Ying Wong
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity. SIAM J. Financial Math. 13 (3) (2022)
Bingyan Han, Hoi Ying Wong
Time-Inconsistency with Rough Volatility. SIAM J. Financial Math. 12 (4) (2021)
Chi Seng Pun, Lei Wang, Hoi Ying Wong
Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection. IJCAI (2020)
Ka Ho Tsang, Hoi Ying Wong
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns. SIAM J. Financial Math. 11 (2) (2020)
Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy. SIAM J. Financial Math. 10 (4) (2019)
Kexin Chen, Mei Choi Chiu, Hoi Ying Wong
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration. SIAM J. Financial Math. 10 (2) (2019)
Chi Seng Pun, Hoi Ying Wong
A linear programming model for selection of sparse high-dimensional multiperiod portfolios. Eur. J. Oper. Res. 273 (2) (2019)
Tingjin Yan, Hoi Ying Wong
Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility. Autom. 107 (2019)
Mei Choi Chiu, Hoi Ying Wong
Robust dynamic pairs trading with cointegration. Oper. Res. Lett. 46 (2) (2018)
Mei Choi Chiu, Hoi Ying Wong, Jing Zhao
Dynamic safety first expected utility model. Eur. J. Oper. Res. 271 (1) (2018)
Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong
Non-zero-sum reinsurance games subject to ambiguous correlations. Oper. Res. Lett. 44 (5) (2016)
Chi Seng Pun, Hoi Ying Wong
Resolution of Degeneracy in Merton's Portfolio Problem. SIAM J. Financial Math. 7 (1) (2016)
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM J. Control. Optim. 54 (5) (2016)
Mei Choi Chiu, Hoi Ying Wong
Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies. J. Comput. Appl. Math. 290 (2015)
Mei Choi Chiu, Hoi Ying Wong, Jing Zhao
Commodity derivatives pricing with cointegration and stochastic covariances. Eur. J. Oper. Res. 246 (2) (2015)
Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong
Variance swap with mean reversion, multifactor stochastic volatility and jumps. Eur. J. Oper. Res. 245 (2) (2015)
Mei Choi Chiu, Hoi Ying Wong
Mean-variance portfolio selection with correlation risk. J. Comput. Appl. Math. 263 (2014)
Mei Choi Chiu, Hoi Ying Wong
Mean-variance principle of managing cointegrated risky assets and random liabilities. Oper. Res. Lett. 41 (1) (2013)
Tat Wing Wong, Hoi Ying Wong
Valuation of stock loans using exponential phase-type Lévy models. Appl. Math. Comput. 222 (2013)
Kwai Sun Leung, Hoi Ying Wong, Hon-Yip Ng
Currency option pricing with Wishart process. J. Comput. Appl. Math. 238 (2013)
Mei Choi Chiu, Hoi Ying Wong
Mean-variance asset-liability management: Cointegrated assets and insurance liability. Eur. J. Oper. Res. 223 (3) (2012)
Ngai Hang Chan, Hoi Ying Wong, Jing Zhao
Structural model of credit migration. Comput. Stat. Data Anal. 56 (11) (2012)
Hoi Ying Wong, Jing Zhao
An artificial boundary method for the Hull-White model of American interest rate derivatives. Appl. Math. Comput. 217 (9) (2011)
Hoi Ying Wong, Jing Zhao
Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process. J. Comput. Appl. Math. 236 (2) (2011)
Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. Oper. Res. Lett. 39 (4) (2011)
Hoi Ying Wong, Jing Zhao
Valuing American options under the CEV model by Laplace-Carson transforms. Oper. Res. Lett. 38 (5) (2010)
Hoi Ying Wong, Yu Wai Lo
Option pricing with mean reversion and stochastic volatility. Eur. J. Oper. Res. 197 (1) (2009)
Hoi Ying Wong, Jing Zhao
An Artificial Boundary Method for American Option Pricing under the CEV Model. SIAM J. Numer. Anal. 46 (4) (2008)
Yue Kuen Kwok, Hoi Ying Wong, Ka Wo Lau
Pricing Algorithms of Multivariate Path Dependent Options. J. Complex. 17 (4) (2001)