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Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees |
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| Authors: | MacKay Anne Ocejo Adriana |
| Institution: | 1.Department of Mathematics, Université de Sherboroke, 2500, boul. de l’Université, Sherbrooke, J1K 2R1, Québec, Canada ;2.Department of Mathematics and Statistics, University of North Carolina at Charlotte, University City Blvd., Charlotte, 28223, NC, USA ; |
| Abstract: | Methodology and Computing in Applied Probability - We study a portfolio optimization problem involving the loss averse policyholder of a variable annuity with a guaranteed minimum maturity benefit.... |
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