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Tak Kuen Siu

Institution: Macquarie University

Primary Field: Theory (weighted toward more recent publications)

First Publication: 2010

Most Recent: 2022

RePEc ID: psi241 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 0.00 0.00 1.35 1.35 42%
Last 10 Years 0.00 0.00 0.50 1.93 2.44 50%
All Time 0.00 1.35 1.18 4.79 7.32 85%

Publication Statistics

Raw Publications 14
Coauthorship-Adjusted Count 11.44

Publications (14)

Year Article Journal Tier Authors
2022 Regime switching optimal growth model with risk sensitive preferences Journal of Mathematical Economics C 3
2021 The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights Applied Economics C 1
2018 Market-making strategy with asymmetric information and regime-switching Journal of Economic Dynamics and Control B 4
2017 Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model Economic Modeling C 4
2016 Optimal reinsurance policies with two reinsurers in continuous time Economic Modeling C 3
2015 Valuing commodity options and futures options with changing economic conditions Economic Modeling C 4
2014 Pricing foreign equity options with regime-switching Economic Modeling C 4
2013 Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance Energy Economics A 3
2013 Pricing bond options under a Markovian regime-switching Hull–White model Economic Modeling C 2
2012 Asset allocation under stochastic interest rate with regime switching Economic Modeling C 2
2011 On optimal reinsurance, dividend and reinvestment strategies Economic Modeling C 2
2011 On pricing and hedging options in regime-switching models with feedback effect Journal of Economic Dynamics and Control B 3
2011 On optimal reinsurance, dividend and reinvestment strategies Economic Modeling C 2
2010 On mean-variance portfolio selection under a hidden Markovian regime-switching model Economic Modeling C 3