Kwok Chuen Wong

Assist. Prof

Contact Details


X136

T: Ext. 5291
E: KwokChuen.Wong@dcu.ie

Biography

Book Chapters

  Year Publication
2012 'Mean-variance Precommitment Policies Revisited via a Mean-field Technique'
Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2012) 'Mean-variance Precommitment Policies Revisited via a Mean-field Technique' In: Akihiko Takahashi, Yukio Muromachi, Takashi Shibata (eds). Recent Advances in Financial Engineering 2012. 5 Toh Tuck Link, Singapore 596224: World Scientific Publishing Co. Pte. Ltd. [DOI] [Details]

Peer Reviewed Journals

  Year Publication
2019 'Mean-risk portfolio management with bankruptcy prohibition'
Wong K.C., Yam S.C.P., Zeng J. (2019) 'Mean-risk portfolio management with bankruptcy prohibition'. Insurance: Mathematics and Economics, 85 :153-172 [DOI] [Details]
2019 'A paradox in time-consistency in the mean–variance problem?'
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 [DOI] [Details]
2017 'UTILITY-DEVIATION-RISK PORTFOLIO SELECTION'
Wong, KC;Yam, SCP;Zheng, H (2017) 'UTILITY-DEVIATION-RISK PORTFOLIO SELECTION'. SIAM Journal on Control and Optimization, 55 :1819-1861 [DOI] [Details]
2014 'Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting'
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 [DOI] [Details]
2013 'Markowitz's mean-variance asset-liability management with regime switching: A time-consistent approach'
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 [DOI] [Details]

Education

  Year Institution Qualification Subject
2016 Imperial College London PhD Mathematical Finance
2016 The University of Hong Kong PhD Actuarial Science
2013 The University of Hong Kong MPhil Mathematical Finance
2011 The University of Hong Kong BSc (First Class Hons) Mathematics

Research Interests

Mathematical Finance
Portfolio Management
Time Consistency (Dynamic Consistency)
Stochastic Control
Actuarial Science

Modules Coordinated

  Term (ID)) Title Link Subject
2021 Financial Economics I MS427Financial Economics I
2021 Simulation for Finance MS555Simulation for Finance
2021 Simulation for Finance MS455Simulation for Finance
2021 Financial Economics II MS428Financial Economics II