The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk-constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at...

It is typical in collectively administered pension funds that employees delegate fund managers to invest their contributions. In addition, many pension funds still need to sustain guarantees (prescribed by law) in spite of the current low interest environment. In this paper, we consider an...