Optimal investment under transaction costs for an insurer (Q487570): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6389502 / rank | |||
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| Property / zbMATH Keywords | |||
optimal investment | |||
| Property / zbMATH Keywords: optimal investment / rank | |||
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geometric Brownian motion | |||
| Property / zbMATH Keywords: geometric Brownian motion / rank | |||
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proportional and fixed transaction costs | |||
| Property / zbMATH Keywords: proportional and fixed transaction costs / rank | |||
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numerical examples | |||
| Property / zbMATH Keywords: numerical examples / rank | |||
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insurance company | |||
| Property / zbMATH Keywords: insurance company / rank | |||
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Revision as of 20:55, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment under transaction costs for an insurer |
scientific article |
Statements
Optimal investment under transaction costs for an insurer (English)
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22 January 2015
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optimal investment
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geometric Brownian motion
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proportional and fixed transaction costs
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numerical examples
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insurance company
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