Department of Mathematics
The University of Hong Kong
Hong Kong, PRC.
Office: Run Run Shaw Bldg. Rm 415
Brief Introduction
After graduated with his B.Sc. and M.Phil. degree from the Chinese University of Hong Kong (Mathematics Department), he pursued his Ph.D. degree in the University of WisconsinMadison (again Mathematics Department) and then joined the University of Hong Kong (still Mathematics Department) in 1991. His current research interests are control and optimal control theory with applications to system stabilities and optimal portfolio selections. As he gets older, he is more and more interested in mathematics related to life especially those from ancient china.
Selected Publication List
• (with A. Bensoussan, K. C. R. Wong and S.C.P.Yam) "Time Consistent Portfolio Selection Under ShortSelling Prohibition: from Discrete to Continuous Setting", SIAM J. Finan. Math., 5(1), 153¡V190, 2014.
• (with S.C.P.Yam and W.Zhou) "Game Call Options Revisited", Mathematical Finance, Vol. 24, Issue 1, pp. 173206, 2014.
• (with J.A.Wright and S.C.P.Yam) "A Test For The Equality of Multiple Sharpe Ratios", Journal of Risk, 16(4), 119, 2014.
• (with J. Q. Wei, K. C. R. Wong and S.C.P.Yam) "Markowitz's MeanVariance AssetLiability Management With Regime Switching: A TimeConsistent Approach", Insurance: Mathematics and Economics, Volume 53, Issue 1, July 2013, pp.281291.
• (with H.K.Fung, L.K.Li and W.Zhou) "Fast Evaluation Of Some Probability Integrals Arisen From The Valuations Of Discretely Monitored Derivative Securities", Risk and Decision Analysis 4, pp.5968, 2013.
• (with S.C.P.Yam and J.H.Zhou) "A MeanVariance Portfolio Selection Problem Subject to a Benchmark Constraint: An existence result", Risk and Decision Analysis 4, pp.2538, 2013.
• (with S.C.P.Yam and W.Zhou) "A unified 'bangbang' principle with respect to Rinvariant performance benchmarks", SIAM: Theory of Probability and Its Applications, vol.57, 2012, pp.405  414.
• (with W.K.Wong, J.A.Wright and S.C.P.Yam) "A mixed Sharpe ratio", Risk and Decision Analysis 3, pp.3765, 2012.
• (with S.C.P. Yam, W. Zhou) "Optimal Selling Time In Stock Market Over A Finite Time Horizon", Acta Mathematicae Applicatae Sinica, 2012, v. 28 n. 3, p. 557570.
• (with K.C.J.Sung, S.C.P.Yam and J.H.Zhou) "Behavioural Optimal Insurance", Insurance: Mathematics and Economics, 49 (3), 418428, 2011.
• (with K.C.Cheung, K.C.J.Sung and S.C.P.Yam) "Optimal Reinsurance under General LawInvariant Risk Measures", Scandinavian Actuarial Journal, 2011, pp.1  20.
