Weighted utility optimization of the participating endowment contract
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Cites work
- Advances in prospect theory: cumulative representation of uncertainty
- Calibrated incentive contracts
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Efficiency in games with Markovian private information
- Estimation Risk and Incentive Contracts for Portfolio Managers
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal asset allocation for DC pension plans under inflation
- Optimal Control of DC Pension Plan Management under Two Incentive Schemes
- Optimal investment and consumption decision of a family with life insurance
- Optimal investment strategies for participating contracts
- Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal portfolio delegation when parties have different coefficients of risk aversion
- Portfolio optimization under convex incentive schemes
- PROFIT SHARING IN HEDGE FUNDS
- Prospect Theory: An Analysis of Decision under Risk
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Valuing variable annuity guarantees on multiple assets
Cited in
(7)- Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
- A classification approach to general s-shaped utility optimization with principals' constraints
- Portfolio benchmarks in defined contribution pension plan management
- Mean-variance optimization for participating life insurance contracts
- A framework of state-dependent utility optimisation with general benchmarks
- An asymptotic approach to centrally planned portfolio selection
- Optimal VPPI strategy under omega ratio with stochastic benchmark
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