We derive the optimal portfolio for an expected utility maximizer whose utility does not only depend on terminal wealth but also on some random benchmark (state-dependent utility). We then apply this result to obtain the optimal portfolio of a loss-averse investor with a random reference point...

We study the robustness of the results of Milevsky and Huang (2018) on the optimal demand for annuities to the choice of the utility function. To do so, we first propose a new way to span the set of all increasing concave utility functions by exploiting a one-to-one correspondence with the set...

We consider an optimal insurance design problem for an individual whose preferences are dictated by the rank-dependent expected utility (RDEU) theory with a concave utility function and an inverse-S shaped probability distortion function. This type of RDEU is known to describe human behavior...