Kwok Chuen Wong

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.