2 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…
math.OC2021
A Framework of State-dependent Utility Optimization with General Benchmarks
Zongxia Liang, Yang Liu, Litian Zhang
Benchmarks in the utility function have various interpretations, including performance guarantees and risk constraints in fund contracts and reference levels in cumulative prospect…