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The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors

European journal of operational research, 2021-03, Vol.289 (2), p.774-792

2021

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A multi-level dimension reduction Monte-Carlo method for jump–diffusion models

Journal of computational and applied mathematics, 2017-11, Vol.324, p.49-71

Dang, Duy-Minh

2017

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Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models

Computers & mathematics with applications (1987), 2016-01, Vol.71 (1), p.443-458

2016

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Time-consistent mean–variance portfolio optimization: A numerical impulse control approach

Insurance, mathematics & economics, 2018-11, Vol.83, p.9-28

2018

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A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing

Journal of scientific computing, 2018-05, Vol.75 (2), p.733-761

2018

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Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach

Numerical methods for partial differential equations, 2014-03, Vol.30 (2), p.664-698

2014

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On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies

SIAM journal on financial mathematics, 2021-01, Vol.12 (2), p.566-603

2021

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A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

Applied numerical mathematics, 2019-02, Vol.136, p.1-22

2019

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Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

SIAM journal on financial mathematics, 2019-01, Vol.10 (3), p.815-856

2019

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Influence of Rice Husk Biochar and Compost Amendments on Salt Contents and Hydraulic Properties of Soil and Rice Yield in Salt-Affected Fields

Agronomy (Basel), 2020-08, Vol.10 (8), p.1101

2020

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A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates

Journal of computational and applied mathematics, 2017-06, Vol.317, p.652-671

2017

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The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

Quantitative finance, 2017-03, Vol.17 (3), p.335-351

2017

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A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models

Mathematics and computers in simulation, 2024-05, Vol.219, p.112-140

2024

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Effects of Rice Husk Biochar and Compost Amendments on Soil Phosphorus Fractions, Enzyme Activities and Rice Yields in Salt-Affected Acid Soils in the Mekong Delta, Viet Nam

Agronomy (Basel), 2023-06, Vol.13 (6), p.1593

2023

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A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate

Numerical methods for partial differential equations, 2024-05, Vol.40 (3), p.n/a

2024

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Impacts of Fallow Conditions, Compost and Silicate Fertilizer on Soil Nematode Community in Salt–Affected Paddy Rice Fields in Acid Sulfate and Alluvial Soils in the Mekong Delta, Vietnam

Agronomy (Basel), 2021-03, Vol.11 (3), p.425

2021

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Inland dry season saline intrusion in the Vietnamese Mekong River Delta is driving the identification and implementation of alternative crops to rice

Agricultural systems, 2023-04, Vol.207, p.103632, Article 103632

2023

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Pricing American-style Parisian down-and-out call options

Applied mathematics and computation, 2017-07, Vol.305, p.330-347

2017

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Available carbon and nitrate increase greenhouse gas emissions from soils affected by salinity

Soil research (Collingwood, Vic.), 2017-02, Vol.55 (1), p.47

2017

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Impacts of saltwater intrusion on soil nematodes community in alluvial and acid sulfate soils in paddy rice fields in the Vietnamese Mekong Delta

Ecological indicators, 2021-03, Vol.122, p.107284, Article 107284

2021

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Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation

SIAM journal on scientific computing, 2018-01, Vol.40 (1), p.B1-B31

2018

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PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION

International journal of theoretical and applied finance, 2021-08, Vol.24 (5), p.2150029

2021

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Arsenic in groundwater and sediment in the Mekong River delta, Vietnam

Environmental pollution (1987), 2010-08, Vol.158 (8), p.2648-2658

2010

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Fluxes of greenhouse gases from incubated soils using different lid-closure times

Soil research (Collingwood, Vic.), 2018-02, Vol.56 (1), p.39

2018

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Convergence of the embedded mean-variance optimal points with discrete sampling

Numerische Mathematik, 2016-02, Vol.132 (2), p.271-302

2016

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The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors

A multi-level dimension reduction Monte-Carlo method for jump–diffusion models

Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models

Time-consistent mean–variance portfolio optimization: A numerical impulse control approach

A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing

Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

Influence of Rice Husk Biochar and Compost Amendments on Salt Contents and Hydraulic Properties of Soil and Rice Yield in Salt-Affected Fields

A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates

The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models

Effects of Rice Husk Biochar and Compost Amendments on Soil Phosphorus Fractions, Enzyme Activities and Rice Yields in Salt-Affected Acid Soils in the Mekong Delta, Viet Nam

A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate

Impacts of Fallow Conditions, Compost and Silicate Fertilizer on Soil Nematode Community in Salt–Affected Paddy Rice Fields in Acid Sulfate and Alluvial Soils in the Mekong Delta, Vietnam

Inland dry season saline intrusion in the Vietnamese Mekong River Delta is driving the identification and implementation of alternative crops to rice

Pricing American-style Parisian down-and-out call options

Available carbon and nitrate increase greenhouse gas emissions from soils affected by salinity

Impacts of saltwater intrusion on soil nematodes community in alluvial and acid sulfate soils in paddy rice fields in the Vietnamese Mekong Delta

Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation

PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION

Arsenic in groundwater and sediment in the Mekong River delta, Vietnam

Fluxes of greenhouse gases from incubated soils using different lid-closure times

Convergence of the embedded mean-variance optimal points with discrete sampling

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