Precommitted investment strategy versus time-consistent investment strategy for a dual risk model
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Publication:2321564
DOI10.1155/2014/972487zbMath1422.91759OpenAlexW2159723939WikidataQ59038636 ScholiaQ59038636MaRDI QIDQ2321564
Xi-Min Rong, Ziping Du, Li-Dong Zhang
Publication date: 23 August 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/972487
Applications of optimal control and differential games (49N90) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
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- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Optimal Dividends in the Dual Model with Diffusion
- Ruin Probabilities of a Dual Markov-Modulated Risk Model
- Optimal dividend strategies in a dual model with capital injections
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