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Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 69 (2016), pp. 224-237
Persistent link: https://www.econbiz.de/10011533911
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Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
Guan, Guohui; Wang, Xiaojun - In: Scandinavian actuarial journal 2020 (2020) 8, pp. 677-699
Persistent link: https://www.econbiz.de/10012313721
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Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Guan, Guohui; Li, Bin - In: Journal of economic dynamics & control 143 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013539527
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A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
Liang, Zongxia; Liu, Yang; Ma, Ming; Vinoth, Rahul Pothi - In: Quantitative finance 24 (2024) 2, pp. 281-303
Persistent link: https://www.econbiz.de/10014551987