4 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.PM2023
Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
An Chen, Giorgio Ferrari, Shihao Zhu
This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework. A k…
q-fin.RM2022★ 4 cited
Optimal investment under partial information and robust VaR-type constraint
Nicole Bäuerle, An Chen
This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that t…