Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process (Q2657018): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3125027412 / rank | |||
Normal rank | |||
Revision as of 01:22, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process |
scientific article |
Statements
Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process (English)
0 references
17 March 2021
0 references
optimal reinsurance
0 references
jump-diffusion
0 references
Hamilton-Jacobi-Bellman equation
0 references
time-consistent control
0 references
precommitment
0 references
