Duy Minh Dang

Available identifiers

zbMath Open dang.duy-minhMaRDI QIDQ964215

List of research outcomes

Publication	Date of Publication	Type
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models	2024-04-17	Paper
PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION	2021-10-20	Paper
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors	2021-06-03	Paper
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies	2021-05-17	Paper
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?	2019-11-22	Paper
Pricing American-style Parisian down-and-out call options	2019-03-28	Paper
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model	2018-12-19	Paper
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach	2018-11-19	Paper
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management	2018-11-19	Paper
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance	2018-09-18	Paper
A dimension reduction Shannon-wavelet based method for option pricing	2018-06-01	Paper
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models	2018-04-06	Paper
Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation	2018-01-05	Paper
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models	2017-07-04	Paper
A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates	2017-02-09	Paper
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach	2016-10-07	Paper
Convergence of the embedded mean-variance optimal points with discrete sampling	2016-02-17	Paper
Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach	2014-04-08	Paper
https://portal.mardi4nfdi.de/entity/Q3102957	2011-11-25	Paper
Quadratic spline collocation for one-dimensional linear parabolic partial differential equations	2010-04-15	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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