Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer (Q1955571): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 16:30, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer |
scientific article |
Statements
Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer (English)
0 references
14 June 2013
0 references
mean-variance portfolio selection
0 references
optimal investment
0 references
jump-diffusion process
0 references
HJB equation
0 references
verification theorem
0 references
