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Found 7 papers, 0 papers with code
Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
Focusing on gains instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i) law-invariant, ii) cash- or shift-invariant, and iii) positively homogeneous, and possibly plugged into a general function.
On the Investment Strategies in Occupational Pension Plans
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical investment opportunity for occupational pension planners.
Non-concave expected utility optimization with uncertain time horizon
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain.
Utility maximization under endogenous pricing
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts.
Robustness of Delta Hedging in a Jump-Diffusion Model
If the misspecified volatility and jump sensitivity dominate the true ones, we show that following the misspecified Delta strategy does super-replicate $h(S(T))$ in expectation among a wide collection of models.
Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model
We prove that the equilibrium is necessarily a solution of the extended HJB system.
Optimal investment for participating insurance contracts under VaR-Regulation
This result is contrary to the situation where the insurer maximizes the utility of the total wealth of the company (without distinguishing between contributions of equity holders and policyholders), in which case a VaR constraint may induce the insurer to take excessive risks leading to higher losses than in the case of no regulation.
