Mean-variance optimal reinsurance-investment strategy in continuous time
Year of publication: |
2017
|
---|---|
Authors: | Peng, Daheng ; Zhang, Fang |
Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 1.2017, 3, p. 320-333
|
Subject: | continuous-time | mean-variance | reinsurance-investment strategy | Theorie | Theory | Portfolio-Management | Portfolio selection | CAPM |
-
Margin requirements and portfolio optimization : a geometric appoach
Sheng, Guo, (2014)
-
Sensitivity of the discount rate to the expected payoff in project valuation
Johnstone, David, (2017)
-
Application of volatility-managed portfolios in the context of a volatility index
Subramanian, Abhishek, (2023)
- More ...
-
OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION
PENG, DAHENG, (2005)
-
Optimal contingent claims and consumption
Peng, Daheng, (2005)
-
Wagner, Anita K., (2011)
- More ...