Prof. Dr. Jang Schiltz

Jang Schiltz

Associate professor

Discipline(s) Finance / Quantitative methods in economics & management / Mathematics
Sujets de recherche Financial mathematics, Statistics, Stochastic analysis
Faculté ou Centre Faculté de Droit, d'Économie et de Finance
Department Département Finance
Adresse postale Campus Kirchberg, Université du Luxembourg
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg
Bureau sur le campus F 108
Téléphone (+352) 46 66 44 6800
Langues parlées English, French, German, Luxembourgish

Last updated on: 27 sept 2017

"Conditioned Higher Moment Portfolio Optimisation Using Optimal Control", (with M. Boissaux), V. Terraza & H. Razafitombo (eds.), Understanding Investment Funds: Insights from Performance and Risk Analysis, p. 106-128), 2013

"On the classical solution to the linear-constrained minimum energy problem", (with M. Boissaux), International Journal of Control, 85-2, p. 143-146, 2012

"Optimal mix of funded and unfunded pension systems: the case of Luxembourg", (with J.-D. Guigou, B. Lovat), Pensions, 17-4, p. 208-222, 2012

"On the Efficiency of Risk Measures for Funds of Hedge Funds", (with F. Laube, V. Terraza), Journal of Derivatives and Hedge Fund, 17-1, p. 63-84, 2011

"Analysis of the salary trajectories in Luxembourg: a finite mixture model approach", (with J.-D. Guigou, B. Lovat), Proceeding of the 1st International Conference on Stochastic Modeling Techniques and Data Analysis, p. 319-326, 2011

"The impact of ageing population on pay-as-you-go pension systems: The case of Luxembourg", (with J.-D. Guigou, B. Lovat), Journal of International Finance and Economics, 10-1, p. 110-122, 2010

Last updated on: 08 sept 2014