Mean-risk portfolio management with bankruptcy prohibition

DOI10.1016/j.insmatheco.2019.01.005zbMath1419.91596OpenAlexW2909777901WikidataQ128553358 ScholiaQ128553358MaRDI QIDQ1735044

Xianqiang Yang

Publication date: 28 March 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.01.005

zbMATH Keywords

weak convergencebankruptcy prohibitiondeviation riskmean-risk portfolio selectionnonlinear moment problem

Mathematics Subject Classification ID

Related Items (2)

Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Optimal reinsurance and investment problem with the minimum capital deposit constraint

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