1 citations · 1 across the 4 of their papers we have counts for
4 papers
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…
Non-concave expected utility optimization with uncertain time horizon
Christian Dehm, Thai Nguyen, Mitja Stadje
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficien…
Utility maximization under endogenous pricing
Thai Nguyen, Mitja Stadje
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous perm…
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…