2 papers
q-fin.PM2026
Outperforming a Benchmark with -Bregman Wasserstein divergence
Silvana M. Pesenti, Thai Nguyen
We consider the problem of active portfolio management, where an investor seeks the portfolio with maximal expected utility of the difference between the terminal wealth of their s…
q-fin.MF2018
Optimal investment for participating insurance contracts under VaR-Regulation
Thai Nguyen, Mitja Stadje
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortali…