A framework of state-dependent utility optimisation with general benchmarks

DOI10.1007/S00780-025-00561-9MaRDI QIDQ7006490zbMATH OpenFDO

Authors Zongxia Liang, Yang Liu

Publication date 28 March 2025

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00780-025-00561-9

zbMATH Keywords

general benchmarksmeasurabilitynon-existence of Lagrange multipliersstate-dependent utility optimisationvariational method

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Utility theory (91B16) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cited in

(2)

• Portfolio benchmarks in defined contribution pension plan management
• Optimal VPPI strategy under omega ratio with stochastic benchmark

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