Tak Kuen Siu - Publications, H-index & Citations

Tak Kuen Siu

macquarie university

36H指数

300论文数

4.9K被引数

收录论文 38

发表时间

Consumption-Portfolio Optimization with Regime-Switching-Modulated Habit Formation and Jump Diffusion 消费-投资组合优化：基于状态转换调节的习惯形成与跳跃扩散

Mathematics of Operations Research

IF1.9

2026-01-01

PREAI

Wang, Yike; Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen

Finite mixture models for option pricing: An application to Bitcoin options 期权定价的有限混合模型：在比特币期权中的应用

Journal of Applied Probability

IF0.7

2025-12-01

OAAI

Siu, Tak Kuen

Pareto-optimal risk exchange in a continuous-time economy: Application to target benefit pension 连续时间经济中的帕累托最优风险交换：在目标收益养老金中的应用

ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION

IF0

2025-09-01

PREAI

Tao, Cheng; Shen, Yang; Siu, Tak Kuen

Utility maximization of household with information learning and health shocks 包含信息学习和健康冲击的家庭效用最大化

Finance Research Letters

IF6.9

2025-08-22

OAAI

Hao Wang; Tak Kuen Siu; Ning Wang; Rongming Wang

Investment-consumption optimization with transaction cost and learning about return predictability

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2024-11-01

OAAI

Wang, Ning; Siu, Tak Kuen

Life-cycle model with subsistence consumption constraint and state-dependent utilities

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

IF3.9

2024-07-01

OAAI

Wang, Hao; Siu, Tak Kuen; Hu, Shujie; Wang, Ning

Robust reinsurance and investment strategies under principal-agent framework

ANNALS OF OPERATIONS RESEARCH

IF4.5

2022-04-26

PREAI

Wang, Ning; Siu, Tak Kuen; Fan, Kun

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2020-08-01

PREAI

Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang

Fuzzy hidden Markov-switching portfolio selection with capital gain tax

EXPERT SYSTEMS WITH APPLICATIONS

IF7.5

2020-07-01

PREAI

Guo, Sini; Ching, Wai-Ki; Li, Wai-Keung; Siu, Tak-Kuen; Zhang, Zhiwen

Continuous-time optimal reinsurance strategy with nontrivial curved structures

APPLIED MATHEMATICS AND COMPUTATION

IF3.4

2019-12-01

PREAI

Meng, Hui; Liao, Pu; Siu, Tak Kuen

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

ECONOMIC MODELLING

IF4.7

2017-11-01

PREAI

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai-Ki; Siu, Tak-Kuen

Optimal reinsurance policies with two reinsurers in continuous time

ECONOMIC MODELLING

IF4.7

2016-12-01

PREAI

Meng, Hui; Zhou, Ming; Siu, Talc Kuen

Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model

AUTOMATICA

IF5.9

2016-12-01

PREAI

Zhu, Dong-Mei; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Keen

Pricing strategy for a two-echelon supply chain with optimized return effort level

INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS

IF10

2016-12-01

OAAI

Xie, Yue; Tai, Allen H.; Ching, Wai-Ki; Siu, Tak-Kuen

ON THE MARKET-CONSISTENT VALUATION OF FISH FARMS: USING THE REAL OPTION APPROACH AND SALMON FUTURES

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS

IF3.3

2016-07-26

OAAI

Ewald, Christian-Oliver; Ouyang, Ruolan; Siu, Tak Kuen

A functional Ito's calculus approach to convex risk measures with jump diffusion

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2016-05-01

PREAI

Siu, Tak Kuen

Valuing commodity options and futures options with changing economic conditions 随着经济条件的变化对商品期权和期货期权进行估值

ECONOMIC MODELLING

IF4.7

2015-12-01

PREAI

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming

Impact of secondary market on consumer return policies and supply chain coordination

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE

IF7.2

2014-06-01

PREAI

Huang, Ximin; Gu, Jia-Wen; Ching, Wai-Ki; Siu, Tak-Kuen

A Double HMM approach to Altman Z-scores and credit ratings

EXPERT SYSTEMS WITH APPLICATIONS

IF7.5

2014-03-01

PREAI

Elliott, Robert J.; Siu, Tak Kuen; Fung, Eric S.

Pricing foreign equity options with regime-switching

ECONOMIC MODELLING

IF4.7

2014-02-01

PREAI

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming

研究方向