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Found 8 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.
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.
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
The reinsurer is the leader in the game and maximizes its expected utility by selecting its optimal investment strategy and a safety loading in the reinsurance contract it offers to the insurer.
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.
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors.
