Anne MacKay

University of Quebec at Montreal (UQAM)

PB 8888 Station DownTown

Succursale Centre Ville

Montreal, Quebec H3C3P8

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

113

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

Number of pages: 36 Posted: 02 Nov 2016 Last Revised: 16 Nov 2016
Zhenyu Cui, Runhuan Feng and Anne MacKay
Stevens Institute of Technology - School of Business, University of Illinois at Urbana-Champaign and University of Quebec at Montreal (UQAM)
Downloads 89 (296,992)
Citation 3

Abstract:

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Variable Annuity, VIX Index, Dynamic Fee, Segregated Funds, Stochastic Volatility, Heston Model

2.

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 24 (518,292)

Abstract:

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