Optimal investment strategies for participating contracts

Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights.     

A class of convexification and concavification methods for non-monotone optimization problems

A class of convexification and concavification methods are proposed for solving some classes of non-monotone optimization problems. It is shown that some classes of non-monotone optimization problems can be converted into better structured optimization problems, such as, concave minimization problems, reverse convex programming problems, and canonical D.C. programming problems by the proposed convexification and concavification methods. The equivalence between the original problem and the converted better structured optimization problem is established.