Chi Chung Siu

Available identifiers

Publication	Date of Publication	Type
Technical note -- Production management with general demands and lost sales	2024-12-20	Paper
Technical note -- The generalized Sethi advertising model	2024-09-05	Paper
Dynamic trading with Markov liquidity switching	2023-07-31	Paper
Dynamic asset-liability management with frictions	2023-07-18	Paper
Dynamic mean-variance problem with frictions	2022-04-01	Paper
Optimal portfolio execution problem with stochastic price impact	2020-01-20	Paper
Feedback Stackelberg--Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising	2019-10-28	Paper
Dynamic portfolio choice with return predictability and transaction costs	2019-06-27	Paper
Optimal execution with regime-switching market resilience	2019-03-27	Paper
Non-zero-sum reinsurance games subject to ambiguous correlations	2019-01-11	Paper
On the First Passage Time Under Regime-Switching with Jumps	2018-12-13	Paper
A class of nonzero-sum investment and reinsurance games subject to systematic risks	2018-07-17	Paper
VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK	2018-06-04	Paper
A class of non-zero-sum stochastic differential investment and reinsurance games	2014-10-24	Paper
CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS	2014-06-13	Paper

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