Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
From MaRDI portal
Publication:4346232
Recommendations
- Continuous-time optimal portfolio selection with liability
- Growth optimal portfolio insurance in continuous and discrete time
- A class of continuous-time portfolio selection with liability under jump-diffusion processes
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- Survival investment strategies in a continuous-time market model with competition
- Theory of dynamic portfolio for survival under uncertainty
- scientific article; zbMATH DE number 1200330
- OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK
- Continuous-time optimal portfolio under a value-at-risk constraint
Cited in
(63)- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Fractional growth portfolio investment
- “Enterprise Risk and return Management for Financial Institutions,” Mark Griffin and Rick Boomgaardt, April 1999
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Risk seeking, nonconvex remuneration and regime switching
- Optimal asset allocation for outperforming a stochastic benchmark target
- On reinsurance and investment for large insurance portfolios
- Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Ruin minimization for insurers with borrowing constraints
- Theory of dynamic portfolio for survival under uncertainty
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- Correspondence between lifetime minimum wealth and utility of consumption
- An HMM approach for optimal investment of an insurer
- Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- A pair of optimal reinsurance-investment strategies in the two-sided exit framework
- Purchasing life insurance to reach a bequest goal
- Optimal control for n-person differential stochastic inclusions
- Lifetime ruin under ambiguous hazard rate
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Purchasing term life insurance to reach a bequest goal while consuming
- Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
- Maximizing survival, growth and goal reaching under borrowing constraints
- Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
- Efficiency of institutional spending and investment rules
- Optimal investment choices post-retirement in a defined contribution pension scheme
- Dynamic portfolio allocation in goals-based wealth management
- Asset-liability management under the safety-first principle
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal investment and reinsurance in a jump diffusion risk model
- A stochastic differential game for optimal investment of an insurer with regime switching
- Purchasing casualty insurance to avoid lifetime ruin
- Real options maximizing survival probability under incomplete markets
- Optimal investment for insurer with jump-diffusion risk process
- Minimizing the lifetime shortfall or shortfall at death
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Optimal reinsurance: minimize the expected time to reach a goal
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Equilibrium strategies in a defined benefit pension plan game
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Stochastic optimal control in a danger zone
- Evolutionary portfolio selection with liquidity shocks
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- Optimally investing to reach a bequest goal
- Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
- Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process
- Minimizing the probability of lifetime ruin under borrowing constraints
- Barrier present value maximization for a diffusion model of insurance surplus
- Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- Risk‐sensitive benchmarked asset management with expert forecasts
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Risk sensitive control of the lifetime ruin problem
- Ruin theory for classical risk process that is perturbed by diffusion with risky investments
- A BSDE approach to a risk-based optimal investment of an insurer
- Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates.
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
- Minimizing the lifetime ruin under borrowing and short-selling constraints
- The Management of Decumulation Risks in a Defined Contribution Pension Plan
This page was built for publication: Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4346232)
