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Optimal VPPI strategy under Omega ratio with stochastic benchmark
This paper studies a variable proportion portfolio insurance (VPPI) strategy.
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.
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.
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.
