Adriana Ocejo

University of North Carolina at Charlotte

Assistant Professor

9201 University City Blvd

Charlotte, NC 28223

United States

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Scholarly Papers (1)

1.

Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees

Number of pages: 29 Posted: 26 Nov 2019 Last Revised: 13 Jan 2020
Anne MacKay and Adriana Ocejo
University of Quebec at Montreal (UQAM) and University of North Carolina at Charlotte
Downloads 25 (517,740)

Abstract:

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Variable annuity, portfolio optimization, expected utility, optimal control, non-concave utility, guaranteed minimum maturity benefi t