S. C. P. Yam

The Chinese University of Hong Kong. Department of Statistics

Hong Kong

  • The Chinese University of Hong Kong. Department of Statistics

SCHOLARLY PAPERS

13

DOWNLOADS

400

SSRN CITATIONS

13

CROSSREF CITATIONS

7

Scholarly Papers (13)

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1.

Explicit Solutions for a General Class of Optimal Allocation Problems

Downloads 92 (475,565)

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 May 2013
Ka Chun Cheung, Jan Dhaene, Yian Rong and S. C. P. Yam
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 53 (653,820)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 Jan 2014 Last Revised: 10 Feb 2022
Ka Chun Cheung, Jan Dhaene, Yian Rong and S. C. P. Yam
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 39 (745,672)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

2.

Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising

SIAM Journal on Control and Optimization, Volume 57, Issue 5
Number of pages: 35 Posted: 13 Dec 2019 Last Revised: 18 Mar 2020
Alain Bensoussan, Shaokuan Chen, Anshuman Chutani, Suresh Sethi, Chi Chung Siu and S. C. P. Yam
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas, affiliation not provided to SSRN, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 74 (541,774)
Citation 5

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Stackelberg differential game, Nash differential game, feedback solution, cooperative advertising

3.

Co-op advertising in a dynamic three-echelon supply chain

Kennedy, A. P., S. P. Sethi, C. C. Siu, S. C. P. Yam (2021) ``Co-op advertising in a dynamic three-echelon supply chain. Forthcoming in Production and Operations Management, available at SSRN: https://ssrn.com/abstract=3575061
Number of pages: 53 Posted: 06 May 2020 Last Revised: 19 May 2021
Adrian Kennedy, Suresh Sethi, Chi Chung Siu and S. C. P. Yam
The Chinese University of Hong Kong (CUHK) - Department of Statistics, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 57 (619,769)
Citation 1

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cooperative advertising, sales-advertising dynamics, the Sethi model, differential games, linear and isoelastic demands.

4.

Convex Ordering for Insurance Preferences

Insurance: Mathematics and Economics, 64:409-416
Number of pages: 24 Posted: 23 Apr 2015 Last Revised: 26 Aug 2015
Ka Chun Cheung, Wing Fung Chong and S. C. P. Yam
The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and The Chinese University of Hong Kong. Department of Statistics
Downloads 50 (657,746)
Citation 2

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Convex ordering, Karlin-Novikoff-Stoyan-Taylor crossing conditions, Value-at-Risk, Average Value-at-Risk, Optimal insurance decision problem

5.

Optimal Advertising and Product Durability Decisions in New Product Diffusion

Number of pages: 23 Posted: 01 Sep 2022 Last Revised: 04 May 2023
Adrian Kennedy, Ashutosh Prasad, Suresh Sethi, Chi Chung Siu and S. C. P. Yam
The Chinese University of Hong Kong (CUHK) - Department of Statistics, University of California, Riverside (UCR), University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 34 (770,644)

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Advertising; Dynamic Optimization; Product Failure; Planned Obsolescence; Durable Goods

6.

Co-op Advertising in Randomly Fluctuating Markets

Number of pages: 68 Posted: 22 Jul 2021 Last Revised: 01 Dec 2022
Jinhui Han, Suresh Sethi, Chi Chung Siu and S. C. P. Yam
University of Toronto - Rotman School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 34 (763,057)

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Fluctuating market environment, co-op advertising, differential games, Sethi model, feedback Stackelberg equilibrium

7.

A Fourier-Cosine Method for Finite-Time Ruin Probabilities

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 38 Posted: 30 Apr 2021
Wing Yan Lee, Xiaolong Li, Fangda Liu, Yifan Shi and S. C. P. Yam
The Hang Seng University of Hong Kong - Department of Mathematics and Statistics, Southern University of Science and Technology, University of Waterloo - Department of Statistics and Actuarial Science, Southern University of Science and Technology and The Chinese University of Hong Kong. Department of Statistics
Downloads 24 (844,415)

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8.

Dynamic Trading with Markov Liquidity Switching

Number of pages: 40 Posted: 01 Sep 2022 Last Revised: 10 May 2023
Guiyuan Ma, Chi Chung Siu, S. C. P. Yam and Zeyu Zhou
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong, The Chinese University of Hong Kong. Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 18 (900,494)

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Dynamic Trading; Markovian Jump System; Matrix Riccati Differential System; Markov Switching; Temporary and Permanent Price Impacts; Price Distortions

9.

Robust Portfolio Choice With Frictions

Number of pages: 34 Posted: 21 Jul 2022 Last Revised: 10 May 2023
Dantong CHU, Guiyuan Ma, Chi Chung Siu and S. C. P. Yam
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Xi'an Jiaotong University (XJTU) - School of Economics and Finance, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 17 (929,897)

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Finance; Robust portfolio selection; Return predictability; Transient and permanent price impacts; Coupled differential Riccati system.

10.

Production Management with General Demands and Lost Sales

Posted: 04 Apr 2022
Suresh Sethi, Jinhui Han, Xiaolong Li, Chi Chung Siu and S. C. P. Yam
University of Texas at Dallas - Naveen Jindal School of Management, University of Toronto - Rotman School of Management, Southern University of Science and Technology, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics

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production-inventory system, optimal replenishment rate, lost sales, Lévy subordinator, Fourier-Cosine method

11.

The Generalized Sethi Advertising Model

Posted: 17 Sep 2020
Adrian Kennedy, Suresh Sethi, S. C. P. Yam and Chi Chung Siu
The Chinese University of Hong Kong (CUHK) - Department of Statistics, University of Texas at Dallas - Naveen Jindal School of Management, The Chinese University of Hong Kong. Department of Statistics and Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong

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Dynamic Sales-Advertising Model, Sethi Advertising Model, Advertising Policy, Generalized Sethi Model, Integrated Marketing Communications.

12.

A Test for the Equality of Multiple Sharpe Ratios

Journal of Risk, Vol. 16, No. 4, 2014
Number of pages: 20 Posted: 07 Jun 2016
John Wright, S. C. P. Yam and Siu Pang Yung
The Chinese University of Hong Kong, The Chinese University of Hong Kong. Department of Statistics and The University of Hong Kong
Downloads 0 (1,057,334)
Citation 3
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Sharpe ratios, equality

13.

Calendar Effects and Real Estate Securities

Journal of Real Estate Finance and Economics, Vol. 49, No. 1, 2014
Posted: 19 Jun 2014 Last Revised: 02 Sep 2016
Eddie Hui, John Wright and S. C. P. Yam
Hong Kong Polytechnic University, The Chinese University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics

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Calendar effects; Real estate securities index; Reality check test; Superior predictive test; Market efficiency