Constant Proportion Performance Participation
Khemka, G., Lim, W. & Zagst, R. (2026). Quantitative Finance. 26(3), 433–448
Mean–variance optimization of terminal wealth and consumption
Escobar, M., Khemka, G., & Zagst, R. (2025).Finance Research Letters. 86B, 108420
Utility Maximization of Household with Information Learning and Health Shocks
Wang, H., Siu, T. K., Wang, N., & Wang, R. (2025). Finance Research Letters. 86B, 108241
Assessing Ethereum’s Diversification Role with Bitcoin and Major Equity Index – A Bayesian Mixture Copula Approach
Li, J. & Liu, J.J. (2026). Forthcoming in Computational Economics
Algorithmic Insurable Risk Portfolios
Frees, E.W., Butt, A., and Shi, P. (2026). North American Actuarial Journal, 30(1), 52-68
Investment option switching behaviour and impact for pension fund members around the COVID pandemic
Butt, A., Khemka, G., Lim, W., Warren, G. and Wu, S. (2026). Australian Journal of Management, 51(2), 386-415
Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility
Wang, N. & Zhang, Y. (2025). Insurance: Mathematics and Economics, 124, 103125.
Life-cycle planning model with inflation and time-varying consumption constraints
Liu, D., Wang, N., Xu, L., and Wang, H. (2025). Quantitative Finance, 25(7), 1147-1162.
Optimal decision-making for consumption, investment, housing, and life insurance purchase in a couple with dependent mortality
Zhang, J., Wei, J., and Wang, N. (2025). Annals of Actuarial Science, 19(3), 482-510
Ensemble interval forecasts of mortality
Li, J., Wang, M., Liu, J., and Tickle L. (2025). Scandinavian Actuarial Journal, 6, 598-616(19).
Life-cycle planning model with stochastic volatility and recursive preferences
Wang, H., Liu, D., and Wang, N. (2025). International Review of Finance, 25(2), e70025
Quantifying and hedging economic risk in disability income insurance portfolios
Schneider, A., Khemka, G., Pitt, D., & Zhang, J. (2025). Annals of Actuarial Science, 19(2), 285-303
A Compositional Approach to Modelling Cause-Specific Mortality with Zero Counts
Dong, Z., Shang, HL., Hui, F., and Bruhn, A. (2025) Annals of Actuarial Science, 19(3), 416-441
Delegated investment in retirement savings: Is there value added?
Chong, W.F., Khemka, G., and Huang, T. (2025). Annals of Actuarial Science, 19(2), 257-284