Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer

DOI10.1007/s11424-011-8014-7zbMath1237.91123MaRDI QIDQ646755

Lihua Bai, Jun-Yi Guo, Jun-na Bi

Publication date: 17 November 2011

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-011-8014-7

zbMATH Keywords

viscosity solution; HJB equation; verification theorem; optimal investment; mean-variance portfolio selection

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Optimal investment problem for an insurer and a reinsurer, Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching, Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility, A nonlinear interval portfolio selection model and its application in banks, Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers

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