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Siu Pang Yung · Study
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Author
Siu Pang Yung
8 works
· latest 2015
· 2 institutions
cluster: provisional
ORCID 0000-0003-1583-2953
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Citations
587
Works here
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Most cited in this library
Linear-Quadratic Mean Field Games
2015 · 233 citations
Optimal reinsurance under general law-invariant risk measures
2011 · 86 citations
Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
2013 · 73 citations
Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
2014 · 68 citations
A test for the equality of multiple Sharpe ratios
2014 · 39 citations
Works
8 shown
Linear-Quadratic Mean Field Games
Journal of Optimization Theory and Applications
·
2015
·
4 authors
233
citations
Linear-Quadratic Mean Field Games
arXiv (Cornell University)
·
2014
·
3 authors
·
preprint
·
Open access
32
citations
Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
SIAM Journal on Financial Mathematics
·
2014
·
4 authors
·
Open access
68
citations
A test for the equality of multiple Sharpe ratios
The HKU Scholars Hub (University of Hong Kong)
·
2014
·
2 authors
39
citations
Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
Insurance Mathematics and Economics
·
2013
·
4 authors
·
Open access
73
citations
GAME CALL OPTIONS REVISITED
Mathematical Finance
·
2012
·
3 authors
25
citations
Optimal reinsurance under general law-invariant risk measures
Scandinavian Actuarial Journal
·
2011
·
4 authors
86
citations
Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
Journal of Applied Probability
·
2009
·
3 authors
·
Open access
31
citations