Research
Research Grants (as the PI):
In Progress (Gratefully Acknowledged):
Hong Kong RGC General Research Fund (GRF), HK$591,148: "Use alternative data widely not blindly: think uncertainty and cost in decision making", grant no. 15224923, 1/2024-12/2026.
Hong Kong RGC General Research Fund (GRF), HK$600,000: "Stochastic control with pandemic risk: modeling, learning and decision making", grant no. 15305422, 1/2023-12/2025.
[Internal] Start-up fund at The Hong Kong Polytechnic University: "The study on stochastic control and optimal stopping problems with learning and partial information", 08/2021-06/2024
Collaborators:
Chi Seng PUN (NTU)
JunKee JEON (KHU)
Hoi Ying WONG (CUHK, PhD Advisor)
Kyunghyun Park (NTU)
Mei Choi CHIU (EdUHK)
Yong Hyun SHIN (Sookmyung Women's University)
Published and Accepted Papers：
Kexin Chen, Hoi Ying Wong. (2023+) Duality in optimal consumption--investment problems with alternative data. Finance And Stochastics (to appear).
Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong. (2023) Optimal Expansion of Business Opportunity. European Journal of Operational Research, 309(1), 432-445.
Kexin Chen, Junkee Jeon, and Hoi Ying Wong. (2022) Optimal Retirement under Partial Information. Mathematics of Operations Research, 47(3), 1802-1832.
Kexin Chen, Chi Seng Pun, and Hoi Ying Wong. (2023) Efficient Social Distancing during the COVID-19 Pandemic: Integrating Economic and Public Health Considerations. European Journal of Operational Research, 304(1), 84-98.
Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, and Hoi Ying Wong. (2019) Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. SIAM Journal on Financial Mathematics 10, 977-1005.
Kexin Chen, Mei Choi Chiu, and Hoi Ying Wong. (2019) Time-consistent mean-variance pairs-trading with regime-switching cointegration. SIAM Journal on Financial Mathematics 10(2), 632-665.
Kexin Chen and Hoi Ying Wong. (2019) Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset. Finance Research Letters 29, 184-192.
Research Presentations:
10th International Congress on Industrial and Applied Mathematics (ICIAM 2023), Tokyo, August, 2023
5th International Conference on Econometrics and Statistics (EcoSta2022), Kyoto, June 2022
SIAM Conference on Financial Mathematics and Engineering (FM21), virtual, June 2021.
3rd International Conference on Econometrics and Statistics (EcoSta2019), Taiwan, 2019.
Quantitative Methods in Finance (QMF2018), Sydney, 2018.
21st International Congress on Insurance: Mathematics and Economics (IME2017), Vienna, 2017.