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 | 44 | 2019 |
Optimal investment under VaR-regulation and minimum insurance A Chen, T Nguyen, M Stadje Insurance: Mathematics and Economics 79, 194-209, 2018 | 41 | 2018 |
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 | 21 | 2020 |
Approximate hedging problem with transaction costs in stochastic volatility markets TH Nguyen, S Pergamenshchikov Mathematical Finance 27 (3), 832-865, 2017 | 19* | 2017 |
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 | 18* | 2021 |
Risk management with multiple VaR constraints A Chen, T Nguyen, M Stadje Mathematical Methods of Operations Research 88, 297-337, 2018 | 15 | 2018 |
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 | 10* | 2020 |
Optimal collective investment: an analysis of individual welfare N Branger, A Chen, A Mahayni, T Nguyen Mathematics and Financial Economics 17 (1), 101-125, 2023 | 8* | 2023 |
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 | 7 | 2021 |
Indifference Pricing under SAHARA Utility A Chen, T Nguyen, N Soroensen Journal of Computational and Applied Mathematics, 2021 | 5 | 2021 |
Approximate hedging with transaction costs and Leland's algorithm in stochastic volatility markets HT Nguyen Rouen, 2014 | 5 | 2014 |
Approximate hedging with proportional transaction costs for multi-asset options HT Nguyen submitted, 2013 | 5 | 2013 |
Unit-linked tontine: Utility-based design, pricing and performance A Chen, T Nguyen, T Sehner Risks 10 (4), 78, 2022 | 4 | 2022 |
On the inversion-free Newton’s method and its applications H Chau, J Kirkby, D Nguyen, D Nguyen, N Nguyen, T Nguyen International Statistical Review, 2024 | 2 | 2024 |
Linking risk management under expected shortfall to loss-averse behavior A Chen, T Nguyen Available at SSRN 3664590, 2020 | 2 | 2020 |
Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion TW Ng, T Nguyen ASTIN Bulletin: The Journal of the IAA 53 (1), 149-183, 2023 | 1 | 2023 |
Non-concave Expected Utility Optimization with Uncertain Time Horizon C Dehm, T Nguyen, M Stadje Applied Mathematics & Optimization 88, 2023 | 1* | 2023 |
Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing T Nguyen, M Stadje arXiv preprint arXiv:2005.04312, 2020 | 1 | 2020 |
Optimal investment and consumption with downside risk constraint in jump-diffusion models T Nguyen arXiv preprint arXiv:1604.05584, 2016 | 1 | 2016 |
On short-time behavior of implied volatility in a market model with indexes HN Chau, D Nguyen, T Nguyen arXiv preprint arXiv:2402.16509, 2024 | | 2024 |