Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees

DOI10.1007/S11009-022-09942-5zbMATH Open1489.91225OpenAlexW4220735297MaRDI QIDQ2152251FDOQ2152251

Authors Anne MacKay, Adriana Ocejo 

Publication date 7 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-022-09942-5

zbMATH Keywords

variable annuityportfolio optimizationstochastic controlloss aversionactuarial mathematicsnon-concave utility

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
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• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
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• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model

Cited in

(1)

• Minimum return guarantees, investment caps, and investment flexibility

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