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Dr YU Kwok Wai, Carisa

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學術及行政人員
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Dr YU Kwok Wai, Carisa
余國惠博士

PhD (PolyU)
MPhil (PolyU)
BSc (The University of Hull)
CStat (RSS)

icosEmail: carisayu@hsu.edu.hk
icosTel: (852) 3963 5109
icosOffice : D608

Associate Professor
BSc-DSBI Programme Director

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.

Research Interests Publications Research Grants Newspaper Columns

Research Interests

  1. Asset management
  2. Risk management
  3. Financial optimization
  4. Option pricing

Publications

……….Journal Articles……….

  1. T.C. Ng, S.K. Choy, B.S.Y. Lam, and C.K.W. Yu, Fuzzy Superpixel-based Image Segmentation, Pattern Recognition, 2022. accepted.
  2. Y. Hu, G. Li, C.K.W. Yu, and T.L. Yip, Quasi-convex Feasibility Problems: Subgradient Methods and Convergence Rates, European Journal of Operational Research, 298(1), 45-58, 2022.
  3. C. Zu, X. Yang, and C.K.W. Yu, Sparse Minmax Portfolio and Sharpe Ratio Models, Journal of Industrial and Management Optimization, 18(5), 3247-3262, 2022.
  4. Y. Hu, G. Li, M. Li, and C.K.W. Yu, Multiple-sets Split Quasi-convex Feasibility Problems: Adaptive Subgradient Methods with Convergence Guarantee, Journal of Nonlinear and Variational Analysis, 6(2), 15-33, 2022.
  5. K. Meng, H. Yang, X. Yang, and C.K.W. Yu, Portfolio Optimization under a Minimax Rule Revisited, Optimization, 71(4), 877-905, 2021.
  6. S.K. Choy, C.K.W. Yu, T.C.L. Lee, B.S.Y. Lam, and C.Y.W. Wong, A Two-stage Variational Jump Point Detection Algorithm for Real Estate Analysis, Land Use Policy, 105687, 2021.
  7. X. Li, L. Cai, J. Li, C.K.W. Yu, and Y. Hu., A Survey of Clustering Methods via Optimization Methodology, Journal of Applied and Numerical Optimization, 3(1), 151-174, 2021.
  8. Y. Hu, J. Li, and C.K.W. Yu, Convergence Rates of Subgradient Methods for Quasi-convex Optimization Problems, Computational Optimization and Applications, 77(1), 183-212, 2020.
  9. S.K. Choy, T.T.C. Ng, and C.K.W. Yu, Unsupervised Fuzzy Model-based Image Segmentation, Signal Processing, 171, 107483, 2020.
  10. J.H. Wang, Y.H. Hu, C.K.W. Yu, C. Li, and X.Q. Yang, Extended Newton Methods for Multiobjective Optimization: Majorizing Function Technique and Convergence Analysis, Siam Journal on Optimization, 29(3), 2388-2421, 2019.
  11. Y.H. Hu, C.K.W. Yu, and X.Q. Yang, Incremental Quasi-subgradient Methods for Minimizing the Sum of Quasi-convex Functions, Journal of Global Optimization, 75, 1003-1028, 2019.
  12. C.K.W. Yu, T.L. Yip, and S.K. Choy, Optimal Portfolio Choice for Ship Leasing Investments, Maritime Policy & Management, 46(7), 884-900, 2019.
  13. J.H. Wang, Y.H. Hu, C.K.W. Yu, and X.J. Zhuang, A Family of Projection Gradient Methods for Solving the Multiple-Sets Split Feasibility Problem, Journal of Optimization Theory and Applications, 183, 520-534, 2019.
  14. J.F. Bao, C.K.W. Yu, J.H. Wang, Y.H. Hu, and J.C. Yao, Modified Inexact Levenberg–Marquardt Methods for Solving Nonlinear Least Squares Problems, Computational Optimization and Applications, 74(2), 547-582, 2019.
  15. 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, 68(7), 1289-1304, 2018.
  16. S.K. Choy, K.F.L. Yuen, and C.K.W. Yu, Fuzzy Bit-plane-dependence Image Segmentation, Signal Processing, 154, 30-44, 2019.
  17. 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, 67(9), 1345-1363, 2018.
  18. 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.
  19. 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.
  20. S.K. Choy, B.S.Y. Lam, C.K.W. Yu, B.W.Y. Lee, and J.K.T. Leung, Fuzzy Model-based Clustering and Its Application in Image Segmentation, Pattern Recognition, 68, 141-157, 2017.
  21. Y.H. Hu, 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.
  22. 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.
  23. B.S.Y. Lam, C.K.W. Yu, S.K. Choy, and J.K.T. Leung, Jump Point Detection Using Empirical Mode Decomposition, Land Use Policy, 58, 1-8, 2016.
  24. 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.
  25. E.C.M. Hui and C.K.W. Yu, Enhanced Portfolio Optimization Model for Real Estate Investment in HK, Journal of Property Research, 27(2), 147-180, 2010.
  26. E.C.M. Hui, C.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.
  27. C.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.
  28. C.K.W. Yu, Discussion of “Pricing Lookback Options and Dynamic Guarantees”, North American Actuarial Journal, 7(3), 124-127, 2003.
  29. C.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. C.K.W. Yu, Optimization Algorithms for Data Analysis, 2nd International Conference on Data Science and Information Technology, Seoul, South Korea, July 19-21, 2019.
  2. Y. Hu and C.K.W. Yu, Lower-order Regularization Method for Group Sparse Optimization with Applications, 中国运筹学会第十四次学术年会 (ORSC2018), Chongqing, China, October 12-15, 2018.
  3. S.K. Choy, W.Y. Lee, C.K.W. Yu, and F.L. Yuen, Analysis of Property Markets by Time-Frequency Decomposition Approach, International Journal of Arts and Sciences (IJAS) International Conference, Florence, Italy, June 26-29, 2018.
  4. C.K.W. Yu, F.L. Yuen, S.K. Choy, and W.Y. Lee, Time-Frequency Analytical Tool for Stock Market Analysis, International Journal of Arts and Sciences (IJAS) International Conference, Florence, Italy, June 26-29, 2018.
  5. Y. Hu and C.K.W. Yu, Lower-order Regularization Method for Group Sparse Optimization with Applications, The Joint Optimization Conferences (JOC 2017), Perth, Australia, December 5-7, 2017.
  6. C.K.W. Yu, F.L. Yuen, S.K. Choy, T.F. Zel, and Y. Wu, Dynamic Stock Market Analysis: Algorithm and Applications, 21st International Congress on Insurance: Mathematics and Economics, Vienna, Austria, July 3-5, 2017.
  7. W. Zhu, W.Y. Lee, S.K. Choy, S.Y. Lam, and C.K.W. Yu, Systemic Weather Risk and Agricultural Insurance Pricing, 21st International Congress on Insurance: Mathematics and Economics, Vienna, Austria, July 3-5, 2017.
  8. C.K.W. Yu, Portfolio Optimization Models under Various Risk Measures, The 28th European Conference on Operational Research, Poznan, Poland, July 3-6, 2016.
  9. C.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, 2016.
  10. C.K.W. Yu, Bi-criteria Portfolio Optimization Problems with the Use of Conditional Value-at-Risk Risk Measure, The 50th Actuarial Research Conference, Toronto, Canada, August 5-8, 2015.
  11. C.K.W. Yu, Robust Approach to the Portfolio Optimization Problem, The 9th International Conference on Optimization Techniques and Applications (ICOTA 9), Taipei, Taiwan, December 12-16, 2013.
  12. C.K.W. Yu and T.L. Yip, Portfolio Analysis of Ship Acquisition, IAME 2013 Conference, Marseille, France, July 3-5, 2013.
  13. C.K.W. Yu, Optimization Approach to the Mean-CVaR Problem in Portfolio Management, The 8th World Congress in Probability and Statistics, Istanbul, Turkey, July 9-14, 2012.
  14. C.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.
  15. C.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.
  16. C.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.
  17. C.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.
  18. C.K.W. Yu, Pricing American Options without Maturity Date, The 38th Actuarial Research Conference, Ann Arbor, Michigan, U.S.A., August 7-9, 2003.

Research Grants

  1. (UGC/FDS14/P07/22) HK$1,324,850. “Joint Sparse Optimization: Nonconvex Penalty Theory and Applications,” funded by the University Grants Committee (UGC) 2022/2023. (PI)
  2. (UGC/FDS14/P02/21) HK$915,270. “Partially Separable and Sparse Optimization: Theory and Applications,” funded by the University Grants Committee (UGC) 2021/2022. (PI)
  3. (UGC/FDS14/P03/20) HK$966,100. “Low-rank Matrix Optimization via Nonconvex Regularization with Applications,” funded by the University Grants Committee (UGC) 2020/2021. (PI)
  4. (UGC/FDS14/P02/19) HK$985,144. “Unsupervised Fuzzy Superpixel-based Image Segmentation,” funded by the University Grants Committee (UGC) 2019/2020. (Co-I)
  5. (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)
  6. (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)
  7. (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)
  8. (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)

Newspaper Columns

  1. Sing Tao Daily (恒管語絲)：標題：數字人生，2017年3月1日
  2. Ming Pao Daily：標題：修讀數據科學及商業智能學 迎接大數據時代，2015年7月15日
  3. 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
  4. 「這一科 學什麼」：標題：商業智能 運籌帷幄，2014年11月5日
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