Mean-variance portfolio selection in Markov-switching jump-diffusion market for risk model
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Publication:2992989
zbMATH Open1349.91165MaRDI QIDQ2992989FDOQ2992989
Authors: Peng Yang 
Publication date: 10 August 2016
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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- Mean-variance portfolio selection for a non-life insurance company
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Title not available (Why is that?)
- Dynamic mean-variance portfolio selection in market with jump-diffusion models
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- Portfolio selection with jumps under regime switching
- The Markov-modulated mean-variance problem for an insurer
- Mean-variance portfolio selection with correlation risk
- Mean-variance portfolio selection in contagious markets
- Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
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