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q-fin.MF2019
The implied Sharpe ratio
Ankush Agarwal, Matthew Lorig
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. H…
q-fin.RM2019
Hedging longevity risk in defined contribution pension schemes
Ankush Agarwal, Christian-Oliver Ewald, Yongjie Wang
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment p…