Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer

DOI10.1007/s10957-012-0138-yzbMath1266.91093OpenAlexW1966256898MaRDI QIDQ1955571

Publication date: 14 June 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0138-y

zbMATH Keywords

HJB equation verification theorem optimal investment jump-diffusion process mean-variance portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

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