Dynamic mean-variance problem with constrained risk control for the insurers

DOI10.1007/s00186-007-0195-4zbMath1156.93037OpenAlexW2017885867MaRDI QIDQ1006562

Lihua Bai, Hua-Yue Zhang

Publication date: 25 March 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-007-0195-4

zbMATH Keywords

Lagrange multiplierviscosity solutionRiccati equationefficient frontiermean-varianceefficient strategyHamilton-Jacobi-Bellmann equation

Mathematics Subject Classification ID

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