We formulate a centrally planned portfolio selection problem with the investor and the
manager having S-shaped utilities under a recently popular first-loss contract. We solve for …

We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA)
utilities, including many classic and non-standard utilities as examples. A typical application …

We study a problem in the principal-agent model of two general S-shaped utilities without
explicit expressions, where the two parties have different reference points. The problem is …

In this paper, we study the individual's optimal asset allocation, consumption and retirement
time under habitual persistence. To depict the phenomenon that the individual feels equally …

This paper studies the equity holders' mean-variance optimal portfolio choice problem for
(non-) protected participating life insurance contracts. We derive explicit formulas for the …

本文从养老金计划参与人和基金经理的双重视角出发, 以最大化双方加权的期望效用为目标,
研究了在最低保障和VaR 约束下, DC 养老金计划的最优资产配置问题. 假设养老金计划参与人 …

This paper explores financial and insurance contracts with non-linear payoffs by combining
optimal contract design and dynamic portfolio planning. It avoids upfront parameter fixation …

Benchmarks in the utility function have various interpretations, including performance
guarantees and risk constraints in fund contracts and reference levels in cumulative …

Asuransi merupakan bentuk perlindungan terhadap konsep pemindahan risiko yang
mungkin terjadi dari suatu peristiwa yang tidak pasti. Salah satu jenis asuransi adalah …

In this paper, we study the individual's optimal retirement time and optimal consumption
under habitual persistence. Because the individual feels equally satisfied with a lower …