3 papers
econ.GN2024
Optimal VPPI strategy under Omega ratio with stochastic benchmark
Guohui Guan, Lin He, Zongxia Liang +1
This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the invest…
q-fin.MF2023
Optimal Mix Among PAYGO, EET and Individual Savings
Lin He, Zongxia Liang, Zhaojie Ren +1
In order to deal with the aging problem, pension system is actively transformed into the funded scheme. However, the funded scheme does not completely replace PAYGO (Pay as You Go)…
q-fin.MF2021
Optimal Retirement Time and Consumption with the Variation in Habitual Persistence
Lin He, Zongxia Liang, Yilun Song +1
In this paper,we study the individual's optimal retirement time and optimal consumption under habitual persistence. Because the individual feels equally satisfied with a lower habi…