Optimal portfolio strategy of wealth process: a Lévy process model-based method
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Cites work
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- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- On the pricing of American contingent claims under transaction costs and multiple risky assets
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Optimal investment for insurer with jump-diffusion risk process
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
- Optimal investment with multiple risky assets for an insurer with modified periodic risk process
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
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- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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- Optimal proportional reinsurance policies for diffusion models with transaction costs
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- Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
- Robust investment strategies with two risky assets
- Robust time-consistent portfolio selection for an investor under CEV model with inflation influence
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- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
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