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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
Overview
Fingerprint
Research Outputs
(1)
Project Details
Status
Finished
Effective start/end date
1/01/13
→
31/12/18
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Explore the research topics touched on by this project. These labels are generated based on the underlying awards/grants. Together they form a unique fingerprint.
Risk Management
Medicine & Life Sciences
Appointments and Schedules
Medicine & Life Sciences
Research Output
Research Output per year
2019
2019
1
Article
Research Output per year
Research Output per year
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
Asset Allocation
Martingale
Economics
Derivative
Logarithmic
1
Citation (Scopus)