Precommitted investment strategy versus time-consistent investment strategy for a general risk model with diffusion

DOI10.1155/2014/358623zbMath1406.91429OpenAlexW2129461317WikidataQ59036578 ScholiaQ59036578MaRDI QIDQ1723926

Ziping Du, Li-Dong Zhang, Xi-Min Rong

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/358623

zbMATH Keywords

diffusiongeneral risk modelprecommitted investment strategy

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Benchmark and mean-variance problems for insurers
• Dynamic mean-variance problem with constrained risk control for the insurers
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
• Controlled Markov processes and viscosity solutions
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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