4 papers
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…
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…