Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (Q931183)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint |
scientific article |
Statements
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (English)
0 references
25 June 2008
0 references
exponential utility
0 references
Hamilton-Jacobi-Bellman equation
0 references
optimal strategy
0 references
probability of ruin
0 references
proportional reinsurance
0 references
