Publications and working papers
The author ordering is alphabetical for all papers, following the convention in mathematics and economics. The corresponding author is indicated by *.
Journal articles
Non-Concave Portfolio Optimization with Average Value-at-Risk.
Mathematics and Financial Economics, 2023.
Fangyuan Zhang*
Link: Journal page / Journal version / Preprint version
Intergenerational Risk Sharing in a Defined-Contribution Pension System: Analysis with Bayesian Optimization.
ASTIN Bulletin: The Journal of the IAA , 2023
An Chen, Motonobu Kanagawa and Fangyuan Zhang*.
Link: Journal Page/ Preprint
Preprints
On the Equivalence Between Value-at-Risk and Expected Shortfall in Non-Concave Optimization
An Chen, Mitja Stadje and Fangyuan Zhang*. (Submitted.)
Link: Preprint