The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...

In this work, we examine the combined problem of optimal portfolio selection rules for an insurer in a continuous-time model where the surplus of an insurance company is modelled as a compound Poisson process. The company can invest its surplus in a risk free asset and in a risky asset, governed...

Option-based portfolio insurance is a unique solution that combines a downside protection with guaranteed minimum upside participation. Its implementation, however, is challenging for public funds, whose investors have different entry points and uncertain holding periods. In this paper we extend...

In an Ito-diffusion market, two fund managers trade under relative performance concerns. For both the asset specialization and diversi?cation settings, we analyze the passive and competitive cases. We measure the performance of the managers' strategies via forward relative performance criteria,...

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field version of the game, based on a study of...

This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it...

In many countries, inducing large-scale technological changes has become an important policy objective, as in the context of climate policy or energy transitions. Such large-scale changes require the development of strongly interlinked technologies. But current economic models have little...

In this paper we prove a deterministic approximation theorem for a sequence of Markov decision processeswith finitely many actions and general state spaces as they appear frequently in economics, game theory and operations research. Using viscosity solution methods no a-priori differentiabililty...