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Found 9 papers, 0 papers with code
Optimal fees in hedge funds with first-loss compensation
Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses.
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type structure.
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
We consider a portfolio optimisation problem for a utility-maximising investor who faces convex constraints on his portfolio allocation in Heston's stochastic volatility model.
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
Using this representation, we provide a condition on the market dynamics and the allocation constraints, which ensures that the solution to the HJB PDE is exponentially affine and separable.
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Via the same financial derivative, the optimal wealth and the optimal investment strategy in the constrained problem are linked to the optimal wealth and the optimal investment strategy in the unconstrained problem.
Optimal market completion through financial derivatives with applications to volatility risk
This paper investigates the optimal choices of financial derivatives to complete a financial market in the framework of stochastic volatility (SV) models.
Derivatives-based portfolio decisions. An expected utility insight
This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes.
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products.
Closed-form portfolio optimization under GARCH models
This paper develops the first closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1, 1) process.
