Mitja Stadje

Ulm University - Department of Mathematics and Economics

Helmholzstrasse

Ulm, D-89081

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

199

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

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 111 (338,805)

Abstract:

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

2.

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 44 (553,489)

Abstract:

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

3.

On The Investment Strategies in Occupational Pension Plans

Number of pages: 23 Posted: 19 Apr 2021
affiliation not provided to SSRN, Ulm University - Institute of Insurance Science, Ulm University and Ulm University - Department of Mathematics and Economics
Downloads 44 (553,489)

Abstract:

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Optimal Asset Allocation, Defined Contribution Plans, Target Date Funds