Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
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Publication:4346232
DOI10.1287/MOOR.22.2.468zbMATH Open0883.90011OpenAlexW3123703843MaRDI QIDQ4346232FDOQ4346232
Publication date: 3 August 1997
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/fd7fc11b13119f0192b2ea341cfd3467b9db3325
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Diffusion processes (60J60) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Economic growth models (91B62) Optimal stochastic control (93E20)
Cited In (63)
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- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Correspondence between lifetime minimum wealth and utility of consumption
- Dynamic portfolio allocation in goals-based wealth management
- A stochastic differential game for optimal investment of an insurer with regime switching
- Optimal investment for insurer with jump-diffusion risk process
- Optimally investing to reach a bequest goal
- Ruin theory for classical risk process that is perturbed by diffusion with risky investments
- Ruin Minimization for Insurers with Borrowing Constraints
- Evolutionary portfolio selection with liquidity shocks
- Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates.
- Optimal control for n-person differential stochastic inclusions
- Purchasing term life insurance to reach a bequest goal while consuming
- MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS
- Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
- Real options maximizing survival probability under incomplete markets
- Risk sensitive control of the lifetime ruin problem
- OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
- Efficiency of institutional spending and investment rules
- Asset-liability management under the safety-first principle
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- A pair of optimal reinsurance-investment strategies in the two-sided exit framework
- Barrier present value maximization for a diffusion model of insurance surplus
- Maximizing survival, growth and goal reaching under borrowing constraints
- Risk‐sensitive benchmarked asset management with expert forecasts
- Optimal investment choices post-retirement in a defined contribution pension scheme
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- Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
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- Minimizing the lifetime shortfall or shortfall at death
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- A BSDE approach to a risk-based optimal investment of an insurer
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- The Management of Decumulation Risks in a Defined Contribution Pension Plan
- On reinsurance and investment for large insurance portfolios
- Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
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- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- An HMM approach for optimal investment of an insurer
- On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
- Optimal asset allocation for outperforming a stochastic benchmark target
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Stochastic optimal control in a danger zone
- Minimizing the probability of lifetime ruin under borrowing constraints
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Minimizing the lifetime ruin under borrowing and short-selling constraints
- Optimal reinsurance: minimize the expected time to reach a goal
- RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS
- Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- 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
- Purchasing life insurance to reach a bequest goal
- Lifetime ruin under ambiguous hazard rate
- Equilibrium strategies in a defined benefit pension plan game
- RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Theory of dynamic portfolio for survival under uncertainty
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