We study a problem of non-concave utility maximization under a fair pricing constraint. The framework finds many applications in, for example, the optimal design of managerial compensation or equity-linked life insurance contracts. Deriving closed-form solutions, we observe that the fair pricing...

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...

We introduce and solve an optimal asset allocation problem under a weighted expected shortfall (WES) constraint, which contains the risk management problem under an expected shortfall constraint of Basak and Shapiro (2001) as a special case. Furthermore, we link our risk management problem under...

The present paper answers the question of how the well-being of individual investors (e.g. pension beneficiaries) is affected by having their capital invested in a collective fund. To achieve this, we lay out and solve an optimal collective investment problem under a portfolio insurance...

We study utility indifference pricing of untradeable assets in incomplete markets using a symmetric asymptotic hyperbolic absolute risk aversion (SAHARA) utility function, both from the buyer's and seller's perspective. The use of the SAHARA utility function allows us to tackle the ``short...