Jia-Wen Gu

According to our database, Jia-Wen Gu authored at least 12 papers between 2011 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints.

Chufang Wu, Jia-Wen Gu, Wai-Ki Ching, Chi-Wing Wong

J. Optim. Theory Appl., October, 2024

2023

Online portfolio selection with state-dependent price estimators and transaction costs.

Sini Guo, Jia-Wen Gu, Christopher H. Fok, Wai-Ki Ching

Eur. J. Oper. Res., November, 2023

Optimal Pairs Trading Strategies: A Stochastic Mean-Variance Approach.

Feng-Hui Yu, Wai-Ki Ching, Chufang Wu, Jia-Wen Gu

J. Optim. Theory Appl., 2023

2021

Optimal pairs trading with dynamic mean-variance objective.

Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak Kuen Siu, Wai-Ki Ching

Math. Methods Oper. Res., 2021

Adaptive online portfolio selection with transaction costs.

Sini Guo, Jia-Wen Gu, Wai-Ki Ching

Eur. J. Oper. Res., 2021

2020

Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation.

Jia-Wen Gu, Shijing Si, Harry Zheng

SIAM J. Control. Optim., 2020

2018

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model.

Jia-Wen Gu, Mogens Steffensen, Harry Zheng

Math. Oper. Res., 2018

2017

On infectious model for dependent defaults.

Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng

Risk Decis. Anal., 2017

2014

On reduced-form intensity-based model with 'trigger' events.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng

J. Oper. Res. Soc., 2014

A hidden Markov reduced-form risk model.

Jia-Wen Gu, Wai-Ki Ching, Harry Zheng

Proceedings of the IEEE Conference on Computational Intelligence for Financial Engineering & Economics, 2014

2013

On modeling credit defaults: A probabilistic Boolean network approach.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng

Risk Decis. Anal., 2013

2011

A Markovian infectious model for dependent default risk.

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu

Int. J. Intell. Eng. Informatics, 2011