Fangyuan Zhang

EURECOM

Campus SophiaTech, 450 Route des Chappes

Sophia Antipolis

France

SCHOLARLY PAPERS

4

DOWNLOADS

353

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

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1.

On the Equivalence Between Value-at-Risk- and Expected Shortfall-based risk measures in Non-Concave Optimization

Number of pages: 37 Posted: 04 Mar 2020 Last Revised: 01 Jul 2022
An Chen, Mitja Stadje and Fangyuan Zhang
Ulm University - Institute of Insurance Science, Ulm University - Department of Mathematics and Economics and EURECOM
Downloads 127 (341,369)

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Value-at-Risk, Expected Shortfall, Optimal investment strategy, Non-concave utility maximization

2.

Intergenerational Risk Sharing in a Defined Contribution Pension System: Analysis with Bayesian Optimization

Number of pages: 39 Posted: 08 Jul 2021 Last Revised: 23 Mar 2023
An Chen, Motonobu Kanagawa and Fangyuan Zhang
Ulm University - Institute of Insurance Science, Eurecom and EURECOM
Downloads 125 (345,373)

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Intergerational risk sharing, Defined contribution, Automatic Adjustment Rule, Bayesian optimization,

3.

Success and Failure of the Financial Regulation on a Surplus-Driven Financial Company

Number of pages: 45 Posted: 13 Sep 2021
An Chen, Mitja Stadje and Fangyuan Zhang
Ulm University - Institute of Insurance Science, Ulm University - Department of Mathematics and Economics and EURECOM
Downloads 52 (577,860)

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Value-at-Risk; Expected Shortfall; Average Value-at-Risk; Non-concave optimization; Equivalence

4.

Non-Concave Portfolio Optimization with Average Value-at-Risk

Number of pages: 47 Posted: 06 Jun 2022 Last Revised: 07 Feb 2023
Fangyuan Zhang
EURECOM
Downloads 49 (592,837)

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Average Value-at-Risk, Non-concave portfolio optimization, Risk-neutral pricing constraint, Quantile formulation