A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA)
utilities, including many classic and non-standard utilities as examples. A typical application …
utilities, including many classic and non-standard utilities as examples. A typical application …
Equilibrium in Style: A Modeling Framework on the Cash Flow and the Life Cycle of a Consumer Store
S Han, J Lei, Y Liu - arXiv preprint arXiv:2404.02426, 2024 - arxiv.org
The consumer store is ubiquitous and plays an important role in our everyday lives. It is an
open question why stores usually have such short life cycles (typically around 3 years in …
open question why stores usually have such short life cycles (typically around 3 years in …
Modelling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets
Y Liu, Z Shen - arXiv preprint arXiv:2406.00435, 2024 - arxiv.org
In hedge funds, convex compensation schemes are popular to stimulate a high-profit
performance for portfolio managers. In economics, non-monotone risk aversion is proposed …
performance for portfolio managers. In economics, non-monotone risk aversion is proposed …
Pareto-Optimal Investments and Contracting for Non-linear Payoffs
This paper explores financial and insurance contracts with non-linear payoffs by combining
optimal contract design and dynamic portfolio planning. It avoids upfront parameter fixation …
optimal contract design and dynamic portfolio planning. It avoids upfront parameter fixation …
A framework of multivariate utility optimization with general benchmarks
Z Liang, Y Liu, L Zhang - arXiv preprint arXiv:2101.06675, 2021 - arxiv.org
Benchmarks in the utility function have various interpretations, including performance
guarantees and risk constraints in fund contracts and reference levels in cumulative …
guarantees and risk constraints in fund contracts and reference levels in cumulative …
[PDF][PDF] A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities
We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utility,
including many non-standard utilities as examples. A typical application is the composition …
including many non-standard utilities as examples. A typical application is the composition …