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

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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)

Cites Work

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• Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts

Cited In (1)

• Minimum return guarantees, investment caps, and investment flexibility

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