Chi Chung Siu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Technical note -- Production management with general demands and lost sales Operations Research	2024-12-20	Paper
Technical note -- The generalized Sethi advertising model Operations Research	2024-09-05	Paper
Dynamic trading with Markov liquidity switching Automatica	2023-07-31	Paper
Dynamic asset-liability management with frictions Insurance Mathematics & Economics	2023-07-18	Paper
Dynamic mean-variance problem with frictions Finance and Stochastics	2022-04-01	Paper
Optimal portfolio execution problem with stochastic price impact Automatica	2020-01-20	Paper
Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising SIAM Journal on Control and Optimization	2019-10-28	Paper
Dynamic portfolio choice with return predictability and transaction costs European Journal of Operational Research	2019-06-27	Paper
Optimal execution with regime-switching market resilience Journal of Economic Dynamics and Control	2019-03-27	Paper
Non-zero-sum reinsurance games subject to ambiguous correlations Operations Research Letters	2019-01-11	Paper
On the First Passage Time Under Regime-Switching with Jumps Inspired by Finance	2018-12-13	Paper
A class of nonzero-sum investment and reinsurance games subject to systematic risks Scandinavian Actuarial Journal	2018-07-17	Paper
Valuing equity-linked death benefits in a regime-switching framework ASTIN Bulletin	2018-06-04	Paper
A class of non-zero-sum stochastic differential investment and reinsurance games Automatica	2014-10-24	Paper
Credit-equity modeling under a latent Lévy firm process International Journal of Theoretical and Applied Finance	2014-06-13	Paper

Research outcomes over time

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