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Research
Latest funding
- $12,500
Constrained expected utility maximization: applications in quantitative finance, risk management, life and pension insurance
NSERC · 2021 · Principal investigator
- $72,000
Constrained expected utility maximization: applications in quantitative finance, risk management, life and pension insurance
NSERC · 2021 · Principal investigator
Constrained expected utility maximization: applications in quantitative finance, risk management, life and pension insurance
Principal investigators: Nguyen, Thai
Constrained expected utility maximization: applications in quantitative finance, risk management, life and pension insurance
Principal investigators: Nguyen, Thai
Keywords: risk management; stochastic optimal control; non-concave optimization; random time horizon; value-at-risk; (weighted) expected shortfall; forward-backward stochastic differential equation; robust preferences; collective investment; indifference pricing
From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.
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