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Found 19 papers, 0 papers with code
Optimal dividend payout with path-dependent drawdown constraint
This paper studies an optimal dividend payout problem with drawdown constraint in a Brownian motion model, where the dividend payout rate must be no less than a fixed proportion of its historical running maximum.
Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insurance constraints confronted by a defined-contribution pension member.
Optimal ratcheting of dividend payout under Brownian motion surplus
Otherwise, by contrast, the optimal dividend ratcheting strategy relays on the surplus level and one should only ratchet up the dividend payout rate when the surplus level touches the dividend ratcheting free boundary.
Optimal moral-hazard-free reinsurance under extended distortion premium principles
Due to the presence of the incentive compatibility constraint and the nonconcavity of the distortion, the optimal contract is obtained as a solution to a double obstacle problem.
Robust utility maximization with intractable claims
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market.
Constrained monotone mean-variance problem with random coefficients
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients.
Relative growth rate optimization under behavioral criterion
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion.
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates.
Dynamic growth-optimum portfolio choice under risk control
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market.
A consumption-investment model with state-dependent lower bound constraint on consumption
We overcome this by transforming it into an equivalent stochastic control problem in which the control constraint is state-independent so that the standard theory can be applied.
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-variance premium principle.
Distributionally robust goal-reaching optimization in the presence of background risk
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal.
A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate.
State-Dependent Temperature Control for Langevin Diffusions
We study the temperature control problem for Langevin diffusions in the context of non-convex optimization.
Dynamic optimal reinsurance and dividend-payout in finite time horizon
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon.
Optimal Investment, Heterogeneous Consumption and Best Time for Retirement
The optimal heterogeneous consumption strategies for a class of non-homothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all in luxury goods when the wealth is large.
Mean-variance portfolio selection under partial information with drift uncertainty
In this paper, we study the mean-variance portfolio selection problem under partial information with drift uncertainty.
Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework
This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility (RDU) theory and the insurer by the expected value premium principle.
