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Thai Nguyen
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Year
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
A Chen, P Hieber, T Nguyen
European Journal of Operational Research 273 (3), 1119-1135, 2019
322019
Optimal investment under VaR-regulation and minimum insurance
A Chen, T Nguyen, M Stadje
Insurance: Mathematics and Economics 79, 194-209, 2018
302018
Nonconcave optimal investment with value-at-risk constraint: An application to life insurance contracts
T Nguyen, M Stadje
SIAM journal on control and optimization 58 (2), 895-936, 2020
17*2020
Approximate hedging problem with transaction costs in stochastic volatility markets
TH Nguyen, S Pergamenshchikov
Mathematical Finance 27 (3), 832-865, 2017
15*2017
Risk management with multiple VaR constraints
A Chen, T Nguyen, M Stadje
Mathematical Methods of Operations Research 88 (2), 297-337, 2018
142018
Optimal collective investment: The impact of sharing rules, management fees and guarantees
A Chen, T Nguyen, M Rach
Journal of Banking and Finance 123, 2021
11*2021
Approximate hedging with constant proportional transaction costs in financial markets with jumps
T Nguyen, S Pergamenschchikov
Theory of Probability & Its Applications 65 (2), 224-248, 2020
8*2020
Optimal collective investment: an individual welfare analysis
N Branger, A Chen, A Mahayni, T Nguyen
Working paper. Available at https://www. researchgate. net/publication/324910837, 2018
5*2018
Approximate hedging with transaction costs and Leland's algorithm in stochastic volatility markets
HT Nguyen
Rouen, 2014
52014
Approximate hedging with proportional transaction costs for multi-asset options
HT Nguyen
submitted, 2013
52013
Indifference Pricing under SAHARA Utility
A Chen, T Nguyen, N Soroensen
Journal of Computational and Applied Mathematics, 2021
32021
Unit-Linked Tontine: Utility-Based Design, Pricing and Performance
A Chen, T Nguyen, T Sehner
Risks 10 (4), 78, 2022
22022
A collective investment problem in a stochastic volatility environment: The impact of sharing rules
A Chen, T Nguyen, M Rach
Annals of Operations Research 302 (1), 85-109, 2021
22021
Linking Risk Management Under Expected Shortfall to Loss-Averse Behavior
A Chen, T Nguyen
Available at SSRN 3664590, 2020
12020
Non-concave expected utility optimization with uncertain time horizon: an application to participating life insurance contracts
C Dehm, T Nguyen, M Stadje
arXiv preprint arXiv:2005.13831, 2020
12020
Optimal investment and consumption with downside risk constraint in jump-diffusion models
T Nguyen
arXiv preprint arXiv:1604.05584, 2016
12016
OPTIMAL COLLECTIVE INVESTMENT: AN ANALYSIS OF INDIVIDUAL WELFARE
N BRANGER, AN CHEN, A MAHAYNI, T NGUYEN
2022
Non-concave expected utility optimization with uncertain time horizon
C Dehm, T Nguyen, M Stadje
arXiv preprint arXiv:2005.13831, 2020
2020
Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing
T Nguyen, M Stadje
arXiv preprint arXiv:2005.04312, 2020
2020
Optimal collective investment under portfolio insurance: how costly are guarantees?
A Chen, T Nguyen, M Rach
2018
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Articles 1–20