Hon Yip Ng
The Chinese University of Hong Kong
4 Papers
1 Citations
Hon Yip Ng is an academic researcher from The Chinese University of Hong Kong. The author has contributed to research in topics: Rate of return on a portfolio & Estimator. The author has an hindex of 3, co-authored 4 publications.
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Papers
An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
TL;DR: In this article, the authors derived explicit formulas for the estimator of the optimal portfolio return and showed that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p / n is large.
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An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment
TL;DR: This paper derives explicit formulas for the estimator of the optimal portfolio return and shows that the proposed estimators dramatically outperform traditional estimators for both the optimal return and its corresponding allocation under different values of p/n ratios and different inter-asset correlations.
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Currency option pricing with Wishart process
TL;DR: A currency option pricing model is developed which postulates that the log-currency value follows a mean reverting process with stochastic volatility driven by Wishart process under risk-neutral measure.
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Stochastic Skew in the Interest Rate Cap Market
TL;DR: In this article, the authors developed a term structure model that is consistent with the empirical phenomena, incorporating the Wishart process into the standard LIBOR market model, namely, the LIBOR N-dimensional Wishart (LNW) market model and derive a closed-form, accurate, efficient caplet pricing formula.
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