22 citations · 27 across the 7 of their papers we have counts for
9 papers
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
Bingyan Han, Chi Seng Pun, Hoi Ying Wong
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we deriv…
Adaptive Robust Online Portfolio Selection
Man Yiu Tsang, Tony Sit, Hoi Ying Wong
The online portfolio selection (OLPS) problem differs from classical portfolio model problems, as it involves making sequential investment decisions. Many OLPS strategies described…
Optimal Expansion of Business Opportunity
Ling Wang, Kexin Chen, Mei Choi Chiu +1
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expan…
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Ling Wang, Mei Choi Chiu, Hoi Ying Wong
This paper investigates the time-consistent mean-variance reinsurance-investment (RI) problem faced by life insurers. Inspired by recent findings that mortality rates exhibit long-…
Efficient Social Distancing for COVID-19: An Integration of Economic Health and Public Health
Kexin Chen, Chi Seng Pun, Hoi Ying Wong
Social distancing has been the only effective way to contain the spread of an infectious disease prior to the availability of the pharmaceutical treatment. It can lower the infecti…
Time-inconsistency with rough volatility
Bingyan Han, Hoi Ying Wong
In this paper, we consider equilibrium strategies under Volterra processes and time-inconsistent preferences embracing mean-variance portfolio selection (MVP). Using a functional I…
Merton's portfolio problem under Volterra Heston model
Bingyan Han, Hoi Ying Wong
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale struct…
Simulation-based Value-at-Risk for Nonlinear Portfolios
Junyao Chen, Tony Sit, Hoi Ying Wong
Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of…
Mean-variance portfolio selection under Volterra Heston model
Bingyan Han, Hoi Ying Wong
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to…