Optimal investment under transaction costs for an insurer (Q487570)
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scientific article; zbMATH DE number 6389502
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| default for all languages | No label defined |
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| English | Optimal investment under transaction costs for an insurer |
scientific article; zbMATH DE number 6389502 |
Statements
Optimal investment under transaction costs for an insurer (English)
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22 January 2015
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optimal investment
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geometric Brownian motion
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proportional and fixed transaction costs
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numerical examples
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insurance company
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0.8782193064689636
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0.8511337637901306
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0.8383889198303223
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0.8356659412384033
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