Two papers accepted at international conferences

Congratulations to our student Yuan Chen and his co-authors!

The paper titled “On the Estimation Theory of MES and ∆CoVaR Driven by Semi-Parametric Multivariate GARCH Models” (New Title: „Multivariate Inference for Dynamic Systemic Risk Measures“), co-authored with Nikolaus Hautsch, Melanie Schienle, and Jérémy Leymarie, has been accepted for presentation at both the QFFE 2025- Quantitative Finance and Financial Econometrics Conference and the 17th Annual SoFiE Conference.

Yuan has also received sponsorship from Capital Fund Management to attend SoFiE through their PhD/Postdoc funding initiative.

In addition, his second paper, “Cardinality-Constrained Optimization for Large-Scale Portfolio”, co-authored with Immanuel Bomze, Nikolaus Hautsch, and Bo Peng, has been accepted for presentation at the 22nd Conference on Advances in Continuous Optimization EUROPT 2025.

Paper: “On the Estimation Theory of MES and ∆CoVaR Driven by Semi-Parametric Multivariate GARCH Models”

Authors: Juan Chen (VGSF), Nikolaus Hautsch (University of Vienna, VGSF), Melanie Schienle (KIT), and Jérémy Leymarie (EDHEC Business School)

Paper: “Cardinality-Constrained Optimization for Large-Scale Portfolio”

Authors: Yuan Chen (VGSF), Immanuel Bomze (University of Vienna), Nikolaus Hautsch (University of Vienna, VGSF), and Bo Peng (University of Vienna)