Equilibrium strategies for alpha-maxmin expected utility maximization
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Cites work
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Cited in
(13)- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
- Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
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- Competition in fund management and forward relative performance criteria
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- Time-consistent lifetime portfolio selection under smooth ambiguity
- \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Robust optimal reinsurance and investment problem with dependent risks under Ornstein-Uhlenbeck process
- -robust optimal investment strategy under inflation
- Alpha-maxmin mean-variance reinsurance-investment strategy under negative risk dependence between two markets
- Alpha-maxmin mean-variance reinsurance and investment Stackelberg game with competition
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