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

11

DOWNLOADS

722

TOTAL CITATIONS

8

Scholarly Papers (11)

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 126 (462,914)
Citation 2

Abstract:

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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 97 (560,150)
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
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 86 (603,474)
Citation 1

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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 85 (607,688)

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

5.

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 80 (629,339)

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

6.

Optimal Advertising and Product Durability Decisions in New Product Diffusion

Number of pages: 23 Posted: 01 Sep 2022 Last Revised: 04 May 2023
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 74 (656,732)

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

7.

The Generalized Sethi Advertising Model

Kennedy, A. P., S. P. Sethi, C. C. Siu, S. C. P. Yam (2024) "The Generalized Sethi Advertising Model" Forthcoming in Operations Research. Available at SSRN: https://ssrn.com/abstract=3669537
Number of pages: 54 Posted: 17 Sep 2020 Last Revised: 04 Mar 2024
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 61 (724,683)

Abstract:

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Advertising policy, dynamic sales-advertising model, Sethi advertising model, Nash equilibrium, Stackelberg equilibrium.

8.

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 53 (773,981)

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

9.

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 40 (870,668)

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

10.

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 20 (1,075,406)

Abstract:

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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

11.

Production Management with General Demands and Lost Sales

Posted: 04 Apr 2022
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

Other Papers (1)

Total Downloads: 0
1.

A robust portfolio selection problem with price impacts in discrete time

Posted: 16 Aug 2023 Last Revised: 18 Oct 2023
Chi Chung Siu, Guiyuan Ma and Dantong CHU
Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong, Xi'an Jiaotong University (XJTU) - School of Economics and Finance and The Chinese University of Hong Kong (CUHK) - Department of Statistics

Abstract:

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Dynamic trading; Robust portfolio selection; Return predictability; Temporary and perma- nent price impa