scientific article; zbMATH DE number 7594618

MaRDI QIDQ5038015zbMATH OpenFDO

Authors Yanan Li

Publication date 29 September 2022

Full work available at URL https://www.actamath.com/Jwk_sxxb_cn/EN/Y2022/V65/I3/547

zbMATH Keywords

agency conflictsHJB equationinformation asymmetryoptimal investment timing

Mathematics Subject Classification ID

Principal-agent models (91B43) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• An optimal portfolio problem in a defaultable market
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Markov-modulated jump-diffusions for currency option pricing
• On the renewal risk process with stochastic interest
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Option price when the stock is a semimartingale
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
• The pricing of options and corporate liabilities

Cited in

(3)

• Research an optimal investment tactics of real option under trust-agent conditions
• Sequential game equilibrium analysis of limited partnership based on optimal intertemporal consumption decision
• Study on the model of high-tech enterprise governance structure

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