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Mei Choi Chiu · Study

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Mei Choi Chiu

11 works· latest 2020· 2 institutionscluster: provisionalORCID 0000-0003-2799-8360

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i1011

Citations600

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Most cited in this library

Asset and liability management under a continuous-time mean–variance optimization framework2006 · 173 citations
Mean–variance portfolio selection of cointegrated assets2011 · 92 citations
Mean–variance asset–liability management: Cointegrated assets and insurance liability2012 · 58 citations
Dynamic cointegrated pairs trading: Mean–variance time-consistent strategies2015 · 43 citations
Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events2012 · 42 citations

Works

11 shown

Volterra Mortality Model: Actuarial Valuation and Risk Management with Long-Range Dependence

Insurance Mathematics and Economics·2020·3 authors·Open access

18citations

Big Data Challenges of High‐Dimensional Continuous‐Time Mean‐Variance Portfolio Selection and a Remedy

Risk Analysis·2017·3 authors

40citations

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

Journal of Computational and Applied Mathematics·2015·2 authors·Open access

43citations

Mean–variance asset–liability management with asset correlation risk and insurance liabilities

Insurance Mathematics and Economics·2014·2 authors

38citations

Time-consistent mean–variance hedging of longevity risk: Effect of cointegration

Insurance Mathematics and Economics·2014·3 authors

35citations

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

Operations Research Letters·2012·2 authors

29citations

Optimal investment for an insurer with cointegrated assets: CRRA utility

Insurance Mathematics and Economics·2012·2 authors

32citations

Mean–variance asset–liability management: Cointegrated assets and insurance liability

European Journal of Operational Research·2012·2 authors

58citations

Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events

Risk Analysis·2012·3 authors

42citations

Mean–variance portfolio selection of cointegrated assets

Journal of Economic Dynamics and Control·2011·2 authors

92citations

Asset and liability management under a continuous-time mean–variance optimization framework

Insurance Mathematics and Economics·2006·2 authors

173citations