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Optimal VPPI strategy under Omega ratio with stochastic benchmark
This paper studies a variable proportion portfolio insurance (VPPI) strategy.
Stackelberg reinsurance and premium decisions with MV criterion and irreversibility
We study a reinsurance Stackelberg game in which both the insurer and the reinsurer adopt the mean-variance (abbr.
Dynamic portfolio selection under generalized disappointment aversion
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA).
Time-inconsistent mean field and n-agent games under relative performance criteria
In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting.
Dynamic portfolio selection for nonlinear law-dependent preferences
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency.
Optimal Mix Among PAYGO, EET and Individual Savings
However, the funded scheme does not completely replace PAYGO (Pay as You Go) scheme and there exist heterogeneous mixes among PAYGO, EET (Exempt, Exempt, Taxed) and individual savings in different countries.
Optimal management of DB pension fund under both underfunded and overfunded cases
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment.
A Stackelberg reinsurance-investment game under $α$-maxmin mean-variance criterion and stochastic volatility
Furthermore, the level of ambiguity, ambiguity attitude, and risk attitude of the insurer (reinsurer) have similar effects on the equilibrium reinsurance strategy, reinsurance premium, and investment strategy.
Continuous-Time Monotone Mean-Variance Portfolio Selection
We study the continuous-time portfolio selection under monotone mean-variance (MMV) preferences in a jump-diffusion model and give an explicit solution different from that under classical mean-variance (MV) preferences for the first time.
The continuous-time pre-commitment KMM problem in incomplete markets
Explicit forms of optimal strategies are presented for CRRA, CARA and HARA utilities in the case of Gaussian SOD in a Black-Scholes financial market, which show that DM with higher ambiguity aversion tends to be more concerned about extreme market conditions with larger bias.
Modern Tontine with Transaction Costs
The wealth of the retiree is divided into a bequest account and a tontine account.
Consumption-investment decisions with endogenous reference point and drawdown constraint
We propose a consumption-investment decision model where past consumption peak $h$ plays a crucial role.
Equilibrium master equations for time-inconsistent problems with distribution dependent rewards
As applications, we reexamine the dynamic portfolio choice problem with rank dependent utility based on the proposed novel approach.
A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities
We derive a unified closed-form formula of the optimal portfolio, which is a four-term division.
Optimal Retirement Time and Consumption with the Variation in Habitual Persistence
In this paper, we study the individual's optimal retirement time and optimal consumption under habitual persistence.
Robust equilibrium strategies in a defined benefit pension plan game
{The union's objective is to maximize the expected discounted utility of the additional benefits, the firm's two different objectives are to maximizing the expected discounted utility of the fund surplus and the probability of the fund surplus reaching an upper level before hitting a lower level in the worst case scenario.}
Optimal management of DC pension fund under relative performance ratio and VaR constraint
Numerical examples are shown in the end of this paper to illustrate the impacts of the performance ratio and VaR constraint.
Retirement decision with addictive habit persistence in a jump diffusion market
This paper investigates the optimal retirement decision, investment, and consumption strategies in a market with jump diffusion, taking into account habit persistence and stock-wage correlation.
