Jia-Wen Gu

Publication Activity (10 Years)

Years Active: 2011-2023
Publications (10 Years): 7

Top Topics

Computational Model

Portfolio Selection

Trading Strategies

Hamilton Jacobi Bellman

Top Venues

Risk Decis. Anal.

Eur. J. Oper. Res.

J. Optim. Theory Appl.

Math. Oper. Res.

Publications

Sini Guo, Jia-Wen Gu, Christopher H. Fok, Wai-Ki Ching
Online portfolio selection with state-dependent price estimators and transaction costs. Eur. J. Oper. Res. 311 (1) (2023)
Feng-Hui Yu, Wai-Ki Ching, Chufang Wu, Jia-Wen Gu
Optimal Pairs Trading Strategies: A Stochastic Mean-Variance Approach. J. Optim. Theory Appl. 196 (1) (2023)
Sini Guo, Jia-Wen Gu, Wai-Ki Ching
Adaptive online portfolio selection with transaction costs. Eur. J. Oper. Res. 295 (3) (2021)
Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak Kuen Siu, Wai-Ki Ching
Optimal pairs trading with dynamic mean-variance objective. Math. Methods Oper. Res. 94 (1) (2021)
Jia-Wen Gu, Shijing Si, Harry Zheng
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation. SIAM J. Control. Optim. 58 (2) (2020)
Jia-Wen Gu, Mogens Steffensen, Harry Zheng
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model. Math. Oper. Res. 43 (2) (2018)
Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng
On infectious model for dependent defaults. Risk Decis. Anal. 6 (4) (2017)
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
On reduced-form intensity-based model with 'trigger' events. J. Oper. Res. Soc. 65 (3) (2014)
Jia-Wen Gu, Wai-Ki Ching, Harry Zheng
A hidden Markov reduced-form risk model. CIFEr (2014)
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
On modeling credit defaults: A probabilistic Boolean network approach. Risk Decis. Anal. 4 (2) (2013)
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu
A Markovian infectious model for dependent default risk. Int. J. Intell. Eng. Informatics 1 (2) (2011)