Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
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Publication:1731595
DOI10.1007/S00186-019-00659-9zbMath1411.91277OpenAlexW2916644340WikidataQ115609108 ScholiaQ115609108MaRDI QIDQ1731595
Publication date: 13 March 2019
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-019-00659-9
Related Items (5)
Influence of risk tolerance on long-term investments: a Malliavin calculus approach ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ A class of stochastic Fredholm-algebraic equations and applications in finance ⋮ Mean-variance portfolio with wealth and volatility dependent risk aversion ⋮ Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion
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