A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim
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Publication:2797756
DOI10.1137/15M1016357zbMath1368.91165OpenAlexW2324566250MaRDI QIDQ2797756
Publication date: 31 March 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1016357
insurancebackground riskquantile formulationrobust control problembehavioral finance modelcontinuous-time mean-variance problemintractable claim
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)
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Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Optimal insurance design with a bonus ⋮ Robust utility maximisation with intractable claims ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Continuous-time Markowitz's model with constraints on wealth and portfolio ⋮ Mean-Variance Portfolio Selection for Partially Observed Point Processes ⋮ A Mean-Variance Approach to Capital Investment Optimization ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application ⋮ \(g\)-expectation of distributions
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