Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Fei Lung Yuen"'
Publikováno v:
Risks, Vol 11, Iss 8, p 143 (2023)
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three m
Externí odkaz:
https://doaj.org/article/bcdbb496c8814326a23b56a43443f9b7
Autor:
Fei Lung Yuen, Hailiang Yang
Publikováno v:
Journal of Systemics, Cybernetics and Informatics, Vol 9, Iss 6, Pp 81-86 (2011)
In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM). The MRSM allows the parameters of the market model depe
Externí odkaz:
https://doaj.org/article/3acdf3cccfda4bfbbd20897c1e4c0a32
Publikováno v:
Insurance: Mathematics and Economics. 91:104-110
The ruin problem has long since received much attention in the literature. Under the classical compound Poisson risk model, elegant results have been obtained in the past few decades. We revisit the finite-time ruin probability by using the idea of c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dffc53f0f22300e1d345c048552ee970
https://doi.org/10.1016/j.insmatheco.2020.01.005
https://doi.org/10.1016/j.insmatheco.2020.01.005
Publikováno v:
Scandinavian Actuarial Journal. 2019:837-866
As perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the c...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f739ec9a480006611aeff2c713080fa0
https://doi.org/10.1080/03461238.2019.1626762
https://doi.org/10.1080/03461238.2019.1626762
Publikováno v:
Scandinavian Actuarial Journal. 2019:784-798
In light of the richness of their structures in connection with practical implementation, we follow the seminal works in economics to use the principal–agent (multidimensional screening) models to ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::876c77482a1162cc00eb3caf996a3b65
https://doi.org/10.1080/03461238.2019.1616323
https://doi.org/10.1080/03461238.2019.1616323
Publikováno v:
Emerging Markets Review. 45:100727
Whether FinTech causes the fragility of financial institutions is a controversial issue. Using a panel sample of listed banks from 84 countries, we exploit the introduction of FinTech regulatory sandboxes as an exogenous shock and examine the heterog
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9b6b9491649ea044fa9a34b9c58d7d0c
https://doi.org/10.1016/j.ememar.2020.100727
https://doi.org/10.1016/j.ememar.2020.100727
Publikováno v:
European Journal of Operational Research. 251:554-561
In asset allocation problem, the distribution of the assets is usually assumed to be known in order to identify the optimal portfolio. In practice, we need to estimate their distribution. The estimations are not necessarily accurate and it is known a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4dc3a4e507abf5188cec071c259e2492
https://doi.org/10.1016/j.ejor.2015.11.011
https://doi.org/10.1016/j.ejor.2015.11.011
Autor:
Fei Lung Yuen, Ka Chun Cheung
Publikováno v:
Journal of Computational and Applied Mathematics. 367:112468
Value at risk (VaR) is a prevalent risk measure used in financial risk management. The calculation of VaR relies on the distribution of the potential loss position which is generally unknown in practice. In this article, we introduce a model of uncer
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1dbe75976a46a12734b143c36956c657
https://doi.org/10.1016/j.cam.2019.112468
https://doi.org/10.1016/j.cam.2019.112468
Publikováno v:
Journal of Industrial & Management Optimization. 9:487-504
This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are gov- erned by a continuous-time self-exciting threshold model. This model provides a way to describe the eect of r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0d5a68c432fef6467a90d22e52859dc
https://doi.org/10.3934/jimo.2013.9.487
https://doi.org/10.3934/jimo.2013.9.487
Autor:
Hailiang Yang, Fei Lung Yuen
Publikováno v:
Journal of Optimization Theory and Applications. 153:794-811
Mean-variance criterion has long been the main stream approach in the optimal portfolio theory. The investors try to balance the risk and the return on their portfolio. In this paper, the deviation of the asset return from the investor’s expectatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5eb3537a9b0ab2b7c2e1bf7bca8da516
https://doi.org/10.1007/s10957-011-9972-6
https://doi.org/10.1007/s10957-011-9972-6