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Optimal investment under partial information and robust VAR-type constraint
Bäuerle, Nicole; Chen, An - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-18
Persistent link: https://www.econbiz.de/10014497281
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Linking Risk Management Under Expected Shortfall to Loss-Averse Behavior
Chen, An - 2020
We introduce and solve an optimal asset allocation problem under a weighted expected shortfall (WES) constraint, which contains the risk management problem under an expected shortfall constraint of Basak and Shapiro (2001) as a special case. Furthermore, we link our risk management problem under...
Persistent link: https://www.econbiz.de/10012826824
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Optimal collective investment : The impact of sharing rules, management fees and guarantees
Chen, An; Nguyen, Thai; Rach, Manuel Matthias - In: Journal of banking & finance 123 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012662259
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Optimal investment and consumption when allowing terminal debt
Chen, An; Vellekoop, Michel - In: European journal of operational research : EJOR 258 (2017) 1, pp. 385-397
Persistent link: https://www.econbiz.de/10011642230
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Optimal investment under VaR-Regulation and Minimum Insurance
Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209
Persistent link: https://www.econbiz.de/10011825449
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Risk management with multiple VaR constraints
Chen, An; Thai Huu Nguyen; Stadje, Mitja - In: Mathematical methods of operations research 88 (2018) 2, pp. 297-337
Persistent link: https://www.econbiz.de/10011935692
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Risk management under weighted limited expected loss
Chen, An; Nguyen, Thai - In: Quantitative finance 24 (2024) 5, pp. 593-612
Persistent link: https://www.econbiz.de/10014552107
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On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129
Persistent link: https://www.econbiz.de/10015066953