I am a PhD student at the Vienna Graduate School of Finance (VGSF) and the Institute of Statistics and Operations Research (ISOR) at the University of Vienna.

My research interests lie in portfolio optimization, financial econometrics, quantitative risk management, and behavioral finance. I am particularly interested in modeling real-life household portfolio optimization problems that incorporate behavioral biases. My goal is to quantify decision-making processes in practical scenarios and develop suitable digital tools to help investors reassess and improve their investment behavior.

E-Mail: yuan.chen@univie.ac.at

CV: Yuan Chen

News

I will be on the 2025-2026 academic job market.

Job Market Paper

Is Correlation Neglect Bad for Portfolio Diversification?

While correlations between stocks play a central role in Markowitz's portfolio selection and diversification, empirical evidence shows that investors often neglect them, relying instead on simple heuristics rather than the Pearson correlation coefficient. Although standard theory suggests that incorporating correlations should improve portfolio performance, empirical studies reveal that ignoring correlations can sometimes yield better out-of-sample results. This raises two key questions: Is correlation neglect always harmful? And which aspects of correlation are truly essential for portfolio construction? In this paper, I propose a transformation that isolates the directional component of correlations and demonstrate that both fully ignoring correlations and fully relying on them are suboptimal. Empirically, I show that the directional component captures the most relevant information for diversification and plays a critical role in improving portfolio performance. By distinguishing between beneficial and irrelevant aspects of correlations, this paper provides a new framework for constructing more robust and effective investment portfolios.

Working Papers

Multivariate Inference for Dynamic Systemic Risk Measures. (with Nikolaus Hautsch, Melanie Schienle, and Jérémy Leymarie ), presented at SOFIE 2025 (Paris), QFFE 2025 (Marseille), R&R Journal of Econometrics

Cardinality-Constrained Optimization for Large-Scale Portfolio (with Immanuel Bomze, Nikolaus Hautsch, and Bo Peng), presented at EURO 2025 (Leeds), EUROPT 2025 (Southampton)

Apps Based on My Research

: ) I am working hard to make it happen asap.

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