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Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
16 references·3 citing·44 second hop
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1997Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study2,399 cited
  • 2000Does Option Compensation Increase Managerial Risk Appetite?926 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 2004Compensation, Incentives, and the Duality of Risk Aversion and Riskiness654 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1981Uncertain Lifetime, Consumption, and Dissaving in Retirement436 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets419 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 2011RELATIVE RISK AVERSION IS CONSTANT: EVIDENCE FROM PANEL DATA309 cited
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Optimal Asset Allocation and Risk Shifting in Money Management
291 cited
  • 2003Optimal investment strategies in the presence of a minimum guarantee210 cited
  • Cited by

    • 2020Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts27 cited
    • 2022MODERN LIFE-CARE TONTINES25 cited
    • 2020Optimal collective investment: The impact of sharing rules, management fees and guarantees22 cited