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This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Inflation risk is introduced in this paper and the financial…
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow the geometric Brownian motion while the…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…
We look at optimal liability-driven portfolios in a family of fat-tailed and extremal risk measures, especially in the context of pension fund and insurance fixed cashflow liability profiles, but also those arising in derivatives books such…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
In this paper, we derive explicit closed-form solutions for the value function and the associated optimal stopping boundaries in an optimal annuitization problem under a mortality shock. We consider an individual whose retirement wealth is…
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control problem. The surrender feature available in marketed products…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…
We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploitation, and is formulated as an entropy-regularized, relaxed…
This paper introduces the multivariate tail-inflated normal (MTIN) distribution, an elliptical heavy-tails generalization of the multivariate normal (MN). The MTIN belongs to the family of MN scale mixtures by choosing a convenient…
This paper investigates optimal withdrawal strategies and behavior of policyholders in a variable annuity (VA) contract with a guaranteed minimum withdrawal benefit (GMWB) rider incorporating taxation and a ratchet mechanism for enhancing…
We consider the problem of optimal annuitization with labour income, where an agent aims to maximize utility from consumption and labour income under age-dependent force of mortality. Using a dynamic programming approach, we derive…
Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing the pension volatility and providing adequate pension levels…
We study the optimal trade-off between expectation and tail risk for regret distribution in the stochastic multi-armed bandit model. We fully characterize the interplay among three desired properties for policy design: worst-case…
We present a Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for Merton's portfolio problem, unifying modern neural-network-based policy parameterization with the adjoint viewpoint from Pontryagin's maximum principle (PMP).…
Economic variables play important roles in any economic model, and sudden and dramatic changes exist in the financial market and economy. For this reason, to price and hedge equity-linked life insurance products, including segregated funds…
We develop a rotation-invariant neural network that provides the global minimum-variance portfolio by jointly learning how to lag-transform historical returns and marginal volatilities and how to regularise the eigenvalues of large equity…
This paper addresses objectives tailored to the risk-averse optimization of accumulated rewards in Markov decision processes (MDPs). The studied objectives require maximizing the expected value of the accumulated rewards minus a penalty…