Mei Choi Chiu

Publication Activity (10 Years)

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

Top Topics

Investment Strategies

Portfolio Selection

Expected Utility

Top Venues

Eur. J. Oper. Res.

Oper. Res. Lett.

J. Comput. Appl. Math.

SIAM J. Financial Math.

Publications

Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong
Optimal expansion of business opportunity. Eur. J. Oper. Res. 309 (1) (2023)
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)
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)
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)
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)
Mei Choi Chiu, Hoi Ying Wong
Mean-variance asset-liability management: Cointegrated assets and insurance liability. Eur. J. Oper. Res. 223 (3) (2012)
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)