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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
442019
Optimal investment under VaR-regulation and minimum insurance
A Chen, T Nguyen, M Stadje
Insurance: Mathematics and Economics 79, 194-209, 2018
412018
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
212020
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
152018
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
72021
Indifference Pricing under SAHARA Utility
A Chen, T Nguyen, N Soroensen
Journal of Computational and Applied Mathematics, 2021
52021
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
Unit-linked tontine: Utility-based design, pricing and performance
A Chen, T Nguyen, T Sehner
Risks 10 (4), 78, 2022
42022
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
22024
Linking risk management under expected shortfall to loss-averse behavior
A Chen, T Nguyen
Available at SSRN 3664590, 2020
22020
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
12023
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
12020
Optimal investment and consumption with downside risk constraint in jump-diffusion models
T Nguyen
arXiv preprint arXiv:1604.05584, 2016
12016
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
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Articles 1–20