7 citations · 8 across the 3 of their papers we have counts for
3 papers
econ.GN2021★ 1 cited
Intergenerational risk sharing in a Defined Contribution pension system: analysis with Bayesian optimization
An Chen, Motonobu Kanagawa, Fangyuan Zhang
We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improv…
math.OC2020
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
An Chen, Mitja Stadje, Fangyuan Zhang
We study a non-concave optimization problem in which a financial company maximizes the expected utility of the surplus under a risk-based regulatory constraint. For this problem, w…
q-fin.PM2014★ 7 cited
Optimal investment with time-varying stochastic endowments
Christoph Belak, An Chen, Carla Mereu +1
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financ…