In this paper we develop what is to the best of our knowledge a new method for solving optimal reinsurance problems. Using the aforementioned method we are able to replicate the results of Bernard and Tian (2009), Cheung (2010) and Cai et al. (2008). The method however allows us to extend the...

We study optimal investment strategies under the objective of maximizing the Omega ratio, proposed by Keating and Shadwick (2002) as an alternative to the Sharpe ratio for performance assessment of investment strategies. We show that in a standard set-up of the financial market the problem is...

Pourbabaee, Kwak, and Pirvu (2016) determine the constant-mix strategy that minimizes Capital at Risk (CaR) under a negative correlation constraint with a benchmark. We extend their result to any increasing law invariant objective function without condition on the sign of the correlation. In...