Kwok Chuen Wong
Assistant Professor in Financial Mathematics at Dublin City University
Links
Biography
Research interests
- Mathematical Finance
- Portfolio Management
- Time Consistency (Dynamic Consistency)
- Stochastic Control
- Actuarial Science
Education
- Imperial College London
Doctor of Philosophy (Ph.D.), Mathematical Finance - The University of Hong Kong
Doctor of Philosophy (Ph.D.), Mathematical Finance and Actuarial Science - The University of Hong Kong
Master of Philosophy (M.Phil.), Financial Mathematics - The University of Hong Kong
Bachelor of Science (B.Sc.), Mathematics
Publications
Book Chapter
Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2012) 'Mean-variance Precommitment Policies Revisited via a Mean-field Technique' In: 5 Toh Tuck Link, Singapore 596224 : World Scientific Publishing Co. Pte. Ltd.
Peer Reviewed Journal
- Wong K.C., Yam S.C.P., Zeng J. (2019) 'Mean-risk portfolio management with bankruptcy prohibition'. Insurance: Mathematics and Economics, 85 :153-172. Link
- Bensoussan A., Wong K.C., Yam S.C.P. (2019) 'A paradox in time-consistency in the mean–variance problem?'. Finance and Stochastics, 23 (1):173-207. Link
- Wong, KC;Yam, SCP;Zheng, H (2017) 'UTILITY-DEVIATION-RISK PORTFOLIO SELECTION'. SIAM Journal on Control and Optimization, 55 :1819-1861.
- Bensoussan, A;Wong, KC;Yam, SCP;Yung, SP (2014) 'Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting'. SIAM Journal on Financial Mathematics, 5 :153-190.
- Wei, J;Wong, KC;Yam, SCP;Yung, SP (2013) 'Markowitz's mean-variance asset-liability management with regime switching: A time-consistent approach'. Insurance: Mathematics and Economics, 53 :281-291.
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