G-Expectation and Its Applications to Nonlinear Risk Management

Siu, Ken (Primary Chief Investigator)
Elliott, Robert (Chief Investigator)
Peng, Shige (Partner Investigator)

Department of Applied Finance

Project: Research

Project Details

Status	Finished
Effective start/end date	1/01/13 → 31/12/18

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1 Article

A martingale approach for asset allocation with derivative security and hidden economic risk
Siu, T. K., Zhu, J. & Yang, H., 1 Sep 2019, In : Journal of Applied Probability. 56, 3, p. 723-749 27 p.
Research output: Contribution to journal › Article
1 Citation (Scopus)

G-Expectation and Its Applications to Nonlinear Risk Management

A martingale approach for asset allocation with derivative security and hidden economic risk