Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion

We investigate the DC pension manager’s portfolio problem when the manager is remunerated through two schemes for DC pension managerial compensation under loss aversion and minimum guarantee. We apply the concavification technique and a static Lagrangian technique to solve the problem and derive the closed-form representation of the optimal wealth and portfolio processes. Theoretical and numerical results show that the incentive schemes can significantly impact the distribution of the optimal terminal wealth.

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Closed-Form Optimal Investment when Present Values and Costs are Jump-Diffusions

SSRN Electronic Journal ◽

10.2139/ssrn.968172 ◽

2006 ◽

Author(s):

Alessandro Sbuelz ◽

Anna Battauz

Keyword(s):

Closed Form ◽

Optimal Investment ◽

Jump Diffusions

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Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading

Statistics & Risk Modeling ◽

10.1515/strm-2017-0001 ◽

2018 ◽

Vol 35 (1-2) ◽

pp. 1-21

Author(s):

Imke Redeker ◽

Ralf Wunderlich

Keyword(s):

Discrete Time ◽

Risk Measure ◽

Time Discretization ◽

Optimal Investment ◽

Portfolio Performance ◽

Dynamic Risk ◽

Portfolio Problem ◽

Risk Constraint ◽

Infrequent Trading ◽

Dynamic Programming Equations

AbstractWe consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial markets we investigate the loss in expected utility of intermediate consumption and terminal wealth caused by imposing a dynamic risk constraint. We derive the dynamic programming equations for the resulting stochastic optimal control problems and solve them numerically. Our numerical results indicate that the loss of portfolio performance is not too large while the risk is notably reduced. We then investigate time discretization effects and find that the loss of portfolio performance resulting from imposing a risk constraint is typically bigger than the loss resulting from infrequent trading.

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Closed-form representation for directivity of nonuniformly spaced linear arrays with arbitrary element patterns

Electronics Letters ◽

10.1049/el:19991475 ◽

1999 ◽

Vol 35 (25) ◽

pp. 2155 ◽

Cited By ~ 6

Author(s):

D.H. Werner ◽

D. Mulyantini ◽

P.L. Werner

Keyword(s):

Closed Form ◽

Arbitrary Element ◽

Linear Arrays ◽

Form Representation

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Harmonic Numbers and Cubed Binomial Coefficients

International Journal of Combinatorics ◽

10.1155/2011/208260 ◽

2011 ◽

Vol 2011 ◽

pp. 1-14

Author(s):

Anthony Sofo

Keyword(s):

Closed Form ◽

Binomial Coefficients ◽

Harmonic Numbers ◽

Polygamma Functions ◽

Form Representation ◽

The Given

Euler related results on the sum of the ratio of harmonic numbers and cubed binomial coefficients are investigated in this paper. Integral and closed-form representation of sums are developed in terms of zeta and polygamma functions. The given representations are new.

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