The Markov-modulated mean-variance problem for an insurer (Q655877)
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scientific article; zbMATH DE number 6002332
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| English | The Markov-modulated mean-variance problem for an insurer |
scientific article; zbMATH DE number 6002332 |
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The Markov-modulated mean-variance problem for an insurer (English)
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27 January 2012
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Markov chain
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mean-variance
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efficient strategy
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efficient frontier
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Lagrange multiplier
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0.8380982875823975
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0.8358078002929688
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0.8327600359916687
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0.8112961053848267
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0.8044580817222595
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