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

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Working Papers

On the estimation theory of MES and ∆CoVaR driven by semi-parametric multivariate GARCH models (with Nikolaus Hautsch, Melanie Schienle, and Jérémy Leymarie ), accepted at SOFIE 2025 (Paris), QFFE 2025 (Marseille)

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

Portfolio Optimization with a Heuristic Perception of Dependence

Apps Based on My Research

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

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