Chi Chung Siu

Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong

Hang Shin Link

Siu Lek Yuen

Shatin, Hong Kong

China

SCHOLARLY PAPERS

7

DOWNLOADS

181

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Optimal Portfolio Execution Problem With Stochastic Price Impact

Automatica, Forthcoming
Number of pages: 14 Posted: 30 Nov 2019
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, University of Wollongong and University of South Australia - School of Commerce
Downloads 60 (454,004)

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Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.

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
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 43 (524,286)
Citation 2

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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
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 40 (538,736)

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

4.

Optimal Investment and Consumption with Return Predictability and Execution Costs

Economic Modelling, Forthcoming
Number of pages: 30 Posted: 02 May 2019 Last Revised: 07 Oct 2019
Guiyuan Ma, Chi Chung Siu and Song-Ping Zhu
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 University of Wollongong
Downloads 34 (569,802)

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Continuous-time investment and consumption problem; Return predictability; Linear temporary price impact; Execution costs; Utility maximization.

5.

Non-zero-sum Reinsurance Games Subject to Ambiguous Correlations

Operations Research Letters. 44, 578-586, 2016
Number of pages: 20 Posted: 23 Jun 2020
Chi Seng Pun, Chi Chung Siu and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 4 (783,655)

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Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Ambiguous Correlation, $g$-Brownian Motion, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Externalities

6.

Co-op Advertising and Pricing in Randomly Fluctuating Markets

Posted: 22 Jul 2021 Last Revised: 24 Jan 2022
Suresh Sethi, Jinhui Han, Chi Chung Siu and S. C. P. Yam
University of Texas at Dallas - Naveen Jindal School of Management, The Chinese University of Hong Kong (CUHK) - Department of Statistics, 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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Fluctuating market environment, co-op advertising, differential games, Sethi model, feedback Stackelberg equilibrium

7.

The Generalized Sethi Advertising Model

Posted: 17 Sep 2020
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.