Sally Shen

Global Risk Institute

55 University Avenue, Suite 1801

Toronto, ON M5J 2H7

Canada

Netspar

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

7

DOWNLOADS

861

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Ideas:
“  Pentech  ”

Scholarly Papers (7)

1.

Strategic Asset Allocation With Climate Change

Number of pages: 63 Posted: 07 Oct 2018 Last Revised: 03 Apr 2019
Sally Shen, Alex LaPlante and Alexey Rubtsov
Global Risk Institute, Global Risk Institute and Ryerson University
Downloads 300 (128,191)
Citation 1

Abstract:

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Strategic Asset Allocation, Asset-Liability Management, Climate Change, Temperature Beta

2.
Downloads 209 (183,358)
Citation 4

Robust Hedging in Incomplete Markets

Journal of Pension Economics and Finance, Forthcoming
Number of pages: 35 Posted: 05 Aug 2014 Last Revised: 27 Feb 2018
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 128 (277,898)
Citation 3

Abstract:

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model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall

Robust Hedging in Incomplete Markets

Netspar Discussion Paper No. 08/2014-064
Number of pages: 31 Posted: 10 Feb 2017 Last Revised: 28 Feb 2018
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 81 (378,996)
Citation 2

Abstract:

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Model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall

Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets

Number of pages: 28 Posted: 05 Aug 2014
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 99 (333,694)

Abstract:

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model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model

Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets

Netspar Discussion Paper No. 08/2014-063
Number of pages: 29 Posted: 14 Feb 2015
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 45 (510,053)

Abstract:

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Model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model

4.

Collar Design for Age-Dependent Indexation Policy

Number of pages: 83 Posted: 16 May 2010
Sally Shen
Global Risk Institute
Downloads 70 (407,417)

Abstract:

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Age-dependent indexation policy, collar option, Black-Scholes, VAR model, ALM, liability valuation, CRRA

How Much Should Life-Cycle Investors Adapt their Behavior when Confronted with Model Uncertainty?

Number of pages: 47 Posted: 05 Aug 2014 Last Revised: 06 Oct 2015
Sally Shen
Global Risk Institute
Downloads 45 (510,053)

Abstract:

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Model Uncertainty, Uncertainty Aversion, Life-Cycle Model, Robust Optimization, Dynamic Programming

How Much Should Life-Cycle Investors Adapt Their Behavior When Confronted with Model Uncertainty?

Netspar Discussion Paper No. DP 10/2015-073
Number of pages: 48 Posted: 08 Mar 2016
Sally Shen
Global Risk Institute
Downloads 19 (671,001)

Abstract:

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Model Uncertainty, Uncertainty Aversion, Life-Cycle Model, Robust Optimization, Dynamic Programming

6.

Conflicted Advice About Portfolio Diversification

Number of pages: 31 Posted: 28 Nov 2017
Sally Shen and John A. Turner
Global Risk Institute and Pension Policy Center
Downloads 43 (509,467)
Citation 1

Abstract:

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diversification, financial advice, conflicts of interest

7.

Discount Rate Regulation for Canadian Private Defined Benefit Pension Plans

Number of pages: 16 Posted: 11 Dec 2017
Sally Shen
Global Risk Institute
Downloads 31 (570,348)

Abstract:

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corporate yield, extrapolation, ultimate forward rate