4 papers
Non-concave Corporate Management with Option Incentives under Value-at-Risk Constraint
Wenyuan Li, Haoqi Lyu, Pengyu Wei
This article studies a dynamic corporate risk management problem by considering the decision-making of risk-averse managers who exert costly effort and select project risk. We stud…
Optimal Life Insurance Decision in Mean-Variance DC Management with Mortality Improvements
Yueman Fen, Yueman Feng, Wenyuan Li +2
This paper studies the investment and insurance strategies of defined-contribution (DC) pension plans under the mean-variance framework. We consider a stochastic environment with t…
Constrained portfolio optimization in a life-cycle model: A deep pricing kernel approach
Wenyuan Li, Pengyu Wei
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a b…
Optimal life insurance and annuity decision under money illusion
Wenyuan Li, Pengyu Wei
This paper investigates the optimal consumption, investment, and life insurance/annuity decisions for a family in an inflationary economy under money illusion. The family can inves…