Abstract We formulate a centrally planned portfolio selection problem with the investor and manager having S-shaped utilities under recently popular first-loss contract. solve for closed-form optimal portfolio, which shows that contract can sometimes behave like an option propose asymptotic approach to investigate portfolio. This be adopted illustrate economic insights, including fact convex becomes more conservative when market state is better. Furthermore, we discover means of Pareto...

This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about risky asset’s drift term and updates subjective belief according to Bayesian rule. A verification theorem established, an strategy can be decomposed into myopic demand two hedging demands. When prior Gaussian, we provide solution closed form. Moreover, puzzle numerical results interpreted via alternative representation of preferences....

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 is the composition HARA preference linear payoff in asset allocation. derive unified closed-form formula optimal portfolio, which four-term division. The has clear economic meanings, reflecting behavior aversion, seeking, loss first-order aversion. conduct asymptotic analysis to directly serves an analytical tool...

Since the late 1990s, a performance fee arrangement has been approved as managerial incentive in direction contribution (DC) pension plan management to motivate managers. However, fact that managers may take undue risk for larger fees and thus reduce members’ utility subject of debate. As such, this study investigates optimal risk-taking policies DC fund under both single scheme mixed with lower fee, well an additional fee. The analytical solutions are derived by using duality method...

This paper compares the optimal investment problems based on monotone mean-variance (MMV) and (MV) preferences in a Lévy market with an untradable stochastic factor. It is open question proposed by Trybuła Zawisza. Using dynamic programming Lagrange multiplier methods, we get Hamilton-Jacobi-Bellman-Isaacs (HJBI) Hamilton-Jacobi-Bellman (HJB) equations corresponding to two problems. The are transformed into new-type parabolic equation, from which strategies under both derived. We prove that...

In a participating endowment contract, the special loss compensation and profit sharing mechanism leads to heterogeneous benchmarks distinguish gain for policyholder's insurance company's S-shaped utilities. Because of intense competition among companies requirement regulators, benefits policyholders should be considered. As such, choosing weighted utility two counterparts as optimization objective is rational setting. This setting induces non-HARA (hyperbolic absolute risk aversion)...

This article studies the robust dividend, financing, and reinsurance strategies for an ambiguity aversion insurer (AAI) under model uncertainty. The AAI controls its liquid reserves by purchasing proportional reinsurance, paying dividends, issuing new equity. We consider uncertainty suppose that is ambiguous about process, which described a class of equivalent probability measures. objective to maximize expected present value dividend payouts minus discounted costs equity before bankruptcy...

This paper investigates the optimal retirement decision, investment, and consumption strategies in a market with jump diffusion, taking into account habit persistence stock-wage correlation. Our analysis considers multiple stocks finite time framework, intending to determine boundary of ``wealth-habit-wage" triplet $(x, h, w)$. To achieve this, we use reduction method duality approach obtain primal variables feedback forms strategies. { When dealing dual problem, address technical challenges...

We study a problem in the principal-agent model of two general S-shaped utilities without explicit expressions, where parties have different reference points. The is featured with principal's participating incentive compatible constraint, which particularly stands context asset management motivation to safeguard benefit principal. After thorough investigation, it turns out be complicated double utility optimization problem. propose new classification approach optimal final allocation. First,...

This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called by us). We first formulate the timeinconsistent under general multi-dimensional controlled diffusion model propose a formal definition of their equilibria. show that an admissible pair $(\hat{u},C)$ controlstopping policy is equilibrium if only auxiliary function associated with it solves extended HJB system, providing methodology verify or exclude solutions....