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q-fin.MF2020
Utility maximization under endogenous pricing
Thai Nguyen, Mitja Stadje
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous perm…
q-fin.MF2018
Optimal investment for participating insurance contracts under VaR-Regulation
Thai Nguyen, Mitja Stadje
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortali…