Mei Choi Chiu

According to our database, Mei Choi Chiu authored at least 11 papers between 2011 and 2023.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of six.

2023

Optimal expansion of business opportunity.

Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong

Eur. J. Oper. Res., August, 2023

2019

Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration.

Kexin Chen, Mei Choi Chiu, Hoi Ying Wong

SIAM J. Financial Math., 2019

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy.

Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong

SIAM J. Financial Math., 2019

2018

Robust dynamic pairs trading with cointegration.

Mei Choi Chiu, Hoi Ying Wong

Oper. Res. Lett., 2018

Dynamic safety first expected utility model.

Mei Choi Chiu, Hoi Ying Wong, Jing Zhao

Eur. J. Oper. Res., 2018

2015

Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies.

Mei Choi Chiu, Hoi Ying Wong

J. Comput. Appl. Math., 2015

Commodity derivatives pricing with cointegration and stochastic covariances.

Mei Choi Chiu, Hoi Ying Wong, Jing Zhao

Eur. J. Oper. Res., 2015

2014

Mean-variance portfolio selection with correlation risk.

Mei Choi Chiu, Hoi Ying Wong

J. Comput. Appl. Math., 2014

2013

Mean-variance principle of managing cointegrated risky assets and random liabilities.

Mei Choi Chiu, Hoi Ying Wong

Oper. Res. Lett., 2013

2012

Mean-variance asset-liability management: Cointegrated assets and insurance liability.

Mei Choi Chiu, Hoi Ying Wong

Eur. J. Oper. Res., 2012

2011

Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility.

Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong

Oper. Res. Lett., 2011