Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment

DOI10.1007/S11424-012-9198-1zbMath1283.91090OpenAlexW1973149822MaRDI QIDQ2439874

Chun-sheng Zhang, Shan-shan Wang

Publication date: 18 March 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-9198-1

zbMATH Keywords

optimal strategyruin probabilityadjustment coefficientItō formulaexponential utilityperiodic environment

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimal investment for an insurer with exponential utility preference
• The periodic risk model with investment
• A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
• Asymptotic ruin probabilities and optimal investment
• Optimal investment for investors with state dependent income, and for insurers
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Optimal investment for insurers
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