Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer (Q1955571)
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scientific article; zbMATH DE number 6176139
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| English | Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer |
scientific article; zbMATH DE number 6176139 |
Statements
Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer (English)
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14 June 2013
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mean-variance portfolio selection
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optimal investment
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jump-diffusion process
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HJB equation
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verification theorem
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0.8827983140945435
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0.8790733218193054
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0.8746707439422607
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0.8586267828941345
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