6 citations · 6 across the 2 of their papers we have counts for
5 papers
Portfolio Selection under Median and Quantile Maximization
Xue Dong He, Zhaoli Jiang, Steven Kou
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity…
EM Algorithm and Stochastic Control in Economics
Steven Kou, Xianhua Peng, Xingbo Xu
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-peri…
On the Measurement of Economic Tail Risk
Steven Kou, Xianhua Peng
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to s…
Parameter Estimation using Empirical Likelihood combined with Market Information
Steven Kou, Tony Sit, Zhiliang Ying
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan e…
A Conversation with Chris Heyde
Paul Glasserman, Steven Kou
Born in Sydney, Australia, on April 20, 1939, Chris Heyde shifted his interest from sport to mathematics thanks to inspiration from a schoolteacher. After earning an M.Sc. degree f…