Kexin Chen

The Chinese University of Hong Kong (CUHK) - Department of Statistics

Shatin, N.T.

Hong Kong

SCHOLARLY PAPERS

4

DOWNLOADS

272

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration

Number of pages: 31 Posted: 11 Oct 2018
Kexin Chen, Mei Choi Chiu and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, The Education University of Hong Kong - Department of Mathematics & Information Technology and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 136 (256,371)
Citation 3

Abstract:

Loading...

Regime-switching, Mean-variance, Time-inconsistency

2.

Optimal Retirement Under Partial Information

Number of pages: 44 Posted: 19 Oct 2020 Last Revised: 08 Jun 2021
Kexin Chen, Junkee Jeon and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 69 (398,070)

Abstract:

Loading...

voluntary retirement, portfolio optimization, optimal consumption, optimal stopping, free boundary problem, partial information

3.

Efficient Social Distancing for COVID-19: An Integration of Economic Health and Public Health

Number of pages: 20 Posted: 07 Dec 2020
Kexin Chen, Chi Seng Pun and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 44 (489,690)

Abstract:

Loading...

OR in health services, COVID-19, Pandemic, Stochastic SIRD Model, Google Mobility Indices, Stochastic Controls, Deep Learning

4.

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Number of pages: 23 Posted: 11 Oct 2018 Last Revised: 17 Oct 2018
The Chinese University of Hong Kong (CUHK) - Department of Statistics, The Education University of Hong Kong - Department of Mathematics & Information Technology, Department of Mathematics, Sookmyung Women's University and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 23 (602,156)
Citation 3

Abstract:

Loading...

optimal investment and consumption, subsistence consumption, stochastic volatility, asymptotic optimality, perturbation