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Dr. YU Kwok Wai, Carisa 余國惠博士
Dr YU Kwok Wai, Carisa (余國惠博士)
BSc (The University of Hull)
MPhil (PolyU)
PhD (PolyU)
CStat (RSS)

Associate Professor

Tel : (852) 3963 5109

Dr Yu received her BSc in Mathematics with Finance from the University of Hull. She obtained her MPhil and PhD degree from the Hong Kong Polytechnic University. Her major research interests include asset management, risk management, financial optimization and option pricing.


Conference Proceedings & Book ChaptersResearch InterestsPublicationsResearch GrantsNewspaper Columns
TopConference Proceedings & Book Chapters
  1. Carisa K.W. Yu. Bi-criteria Portfolio Optimization Problems with the Use of Conditional Value-at-   Risk Risk Measure, The 50th Actuarial Research Conference, August 6-8, 2015.
 
 
TopResearch Interests
  • Asset management
  • Risk management
  • Financial optimization
  • Option pricing
TopPublications

..........Journal Articles..........

  1. C.K.W. Yu, Y.H. Hu, X.Q. Yang and S.K. Choy. Abstract convergence theorem for quasi-convex optimization problems with applications, Optimization – A Journal of Mathematics Programming and Operations Research, 2018. Accepted.
  2. L.F. Zhang, Y.H. Hu, C.K.W. Yu, and J.H. Wang. Iterative positive thresholding algorithm for non-negative sparse optimization, Optimization – A Journal of Mathematics Programming and Operations Research, 2018. Accepted.
  3. Y. Zhang, Y.H. Hu, C.K.W. Yu, and J.H. Wang. Cubic convergence of Newton-steffensen’s method for operators with lipschitz continuous derivative, Journal of Nonlinear and Convex Analysis, 19(3), 433-460, 2018.
  4. Y. Zhang, C.K.W. Yu, J.F. Bao, and J.H. Wang. On quadratical convergence of inexact levenberg-marquardt methods under local error bound condition, Journal of Nonlinear and Convex Analysis, 19(1), 123-146, 2018.
  5. Hu, Y.H., X.Q. Yang and C.K.W. Yu, Subgradient Methods for Saddle Point Problems of Quasiconvex Optimization, Pure and Applied Functional Analysis, 2(1), 83-97, 2017.
  6. S. K. Choy, S. Y. Lam, K. W. Yu, W. Y. Lee and K. T. Leung, Fuzzy Model-based Clustering and Its Application in Image Segmentation, Pattern Recognition, vol. 68, pp. 141-157, 2017.
  7. Y. H. Hu, C.K.W. Yu, C. Li and X. Q. Yang. Conditional Subgradient Method for Constrained Quasi-convex Optimization Problems, Journal of Nonlinear and Convex Analysis, 17(10), 2143-2158, 2016.
  8. B. S. Y. Lam, C. K. W. Yu, S. K. Choy, J. K. T. Leung. Jump Point Detection Using Empirical Mode Decomposition, Land Use Policy, 58, 1-8, 2016.
  9. Y. H. Hu, C. K. W. Yu and C. Li. Stochastic Subgradient Method for Quasi-convex Optimization Problems, Journal of Nonlinear and Convex Analysis, 17(4), 711-724, 2016.
  10. Eddie C.M. Hui and Carisa K.W. Yu. Enhanced Portfolio Optimization Model for Real Estate Investment in HK, Journal of Property Research, 27(2), 147-180, 2010.
  11. Eddie C.M. Hui, Carisa K.W. Yu and W.C. Ip. Jump Point Detection for Real Estate Investment Success, Physica A: Statistical Mechanics and its Applications, 389(5), 1055-1064, 2010.
  12. K.W. Yu, X.Q. Yang, and H. Wong. Asset Allocation by Using the Sharpe Rule: How to Improve an Existing Portfolio by Adding Some New Assets?Journal of Asset Management, 8(2), 133-145, 2007.
  13. K.W. Yu. Discussion of “Pricing Lookback Options and Dynamic Guarantees”, North American Actuarial Journal, 7(3), 124-127, 2003.
  14. K.W. Yu. Discussion of “Pricing Perpetual Fund Protection with Withdrawal Option”, North American Actuarial Journal, 7(2), 87-90, 2003.

..........Conference Proceedings & Book Chapters..........

  1. K. W. Yu, F. L. Yuen, S. K. Choy, T. F. Zel and Y. Wu, Dynamic Stock Market Analysis: Algorithm and Applications, The 21st International Congress on Insurance: Mathematics and Economics, Vienna, July 3-5, 2017.
  2. W. Zhu, W. Y. Lee, S. K. Choy, S. Y. Lam and K. W. Yu, Systemic Weather Risk and Agricultural Insurance Pricing, The 21st International Congress on Insurance: Mathematics and Economics, Vienna, July 3-5, 2017.
  3. Yu, K.W., Multicriteria Optimization Models with Application to Portfolio Selection, The 11th National Conference on Mathematical Programming, Guilin, China, May 12-15, 2017.
  4. C. K. W. Yu. Portfolio Optimization Models under Various Risk Measures, The 28th European Conference on Operational Research, Poznan, Poland, July 3-6, 2016.
  5. Carisa K.W. Yu. Bicriteria Portfolio Optimization Problem under the Minimax Rule, The 6th International Conference on Optimization and Control with Applications, Changsha, China, December 11-14, 2015.
  6. Carisa K.W. Yu. Bi-criteria Portfolio Optimization Problems with the Use of Conditional Value-at-Risk Risk Measure, The 50th Actuarial Research Conference, August 5-8, 2015.
  7. Carisa K.W. Yu. Robust Approach to the Portfolio Optimization Problem, The 9th International Conference on Optimization Techniques and Applications (ICOTA 9), December 12-16, 2013.
  8. Carisa K.W. Yu and T.L. Yip. Portfolio Analysis of Ship Acquisition, IAME 2013 Conference, Marseille, France, July 3-5, 2013.
  9. Carisa K.W. Yu. Optimization Approach to the Mean-CVaR Problem in Portfolio Management, The 8th World Congress in Probability and fiStatistics, Istanbul, Turkey, July 9-14, 2012.
  10. Carisa K.W. Yu. Insight into the Application of Mathematical Models to Real Estate Investment, International Conference on Applied Statistics and Financial Mathematics (ASFM2010), Hong Kong, December 16-18, 2010.
  11. K.W. Yu, The Mean-Variance Approach to Portfolio Improvement, The Second International Conference on Nonlinear Programming with Applications (NPA2008), Beijing, China, April 7-9, 2008.
  12. K.W. Yu, Asset Allocation using Sharpe Rule: How to Improve an Existing Portfolio by Adding Some New Assets?,The 6th International Congress on Industrial and Applied Mathematics, Zurich, Switzerland, July 16-20, 2007.
  13. K.W. Yu, Portfolio Selection: The Sharpe Rule and Incremental VaR Approach, The International Conference on Nonlinear Programming with Applications, Shanghai, China, May 29 – June 1, 2006.
  14. Carisa K.W. Yu. Pricing American Options without Maturity Date, The 38th Actuarial Research Conference, Ann Arbor, Michigan, U.S.A., August 7-9, 2003.
TopResearch Grants
  1. (UGC/FDS14/P02/19) HK$985,144. “Unsupervised Fuzzy Superpixel-based Image Segmentation” funded by the University Grants Committee (UGC) 2019/2020. (Co-I)
  2. (UGC/FDS14/P01/17) HK$575,473. “Fuzzy Bit-plane-dependence Multi-domain Region Competition: Mathematical Modelling and Applications” funded by the University Grants Committee (UGC) 2017/2018. (Co-I)
  3. (UGC/FDS14/P02/17) HK$611,153. “Interior Subgradient Methods for Large-scale Quasi-convex Optimization and Their Applications” funded by the University Grants Committee (UGC) 2017/2018. (PI)
  4. (UGC/FDS14/P02/15) HK$1,006,183. “Sparse Optimization Models with Application to Portfolio Management”, funded by the University Grants Committee (UGC) 2015/2016. (PI)
  5. (UGC/FDS14/P03/14) HK$667,115. “Generalized multicriteria programs and their application in portfolio selection problems”, funded by the University Grants Committee (UGC) 2014/2015. (PI)
TopNewspaper Columns
  1. Sing Tao Daily (恒管語絲): 標題:淺談日常生活中的概率, 2015年03月16日
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