A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints

DOI10.1137/20M1330993zbMath1454.91124MaRDI QIDQ5139677

Zongxia Liang, Yang Liu

Publication date: 10 December 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

classificationoptimal asset allocationdouble s-shaped utility optimizationprincipal-agent conflictsprincipal's constraint

Mathematics Subject Classification ID

Utility theory (91B16) Financial markets (91G15) Principal-agent models (91B43)

Cites Work

• Utility maximization with a given pricing measure when the utility is not necessarily concave
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• Linear multiobjective programming
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• Optimal portfolio delegation when parties have different coefficients of risk aversion
• Prospect Theory: An Analysis of Decision under Risk
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• PROFIT SHARING IN HEDGE FUNDS
• Risk management with weighted VaR
• Weighted utility optimization of the participating endowment contract
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• Optimal Control of DC Pension Plan Management under Two Incentive Schemes

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