دانلود رایگان مقاله انگلیسی استراتژی های سرمایه گذاری بهینه برای قرارداد شرکت - نشریه الزویر

Abstract

Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights.

7. Discussion

In this paper, we consider a portfolio selection problem for a utility maximizing insurance company selling participating contracts. Relying on the martingale approach and the pointwise optimization technique, we are able to obtain a closed-form solution. In the pointwise optimization procedure we adopt a concavification technique to transform the problem to a solvable one. With the optimal solution, we present numerical examples as well as comparisons with the standard CPPI and OBPI strategies. Finally, we consider a constrained version of the optimization problem with bounded control, obtain the solution by employing a numerical method, and compare the solutions of the constrained and unconstrained problems.