Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
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Publication:5346595
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Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A Minimum Variance Result in Continuous Trading Portfolio Optimization
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Mean-variance portfolio optimization with state-dependent risk aversion
- Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics
- On the first time of ruin in the bivariate compound Poisson model
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
Cited in
(21)- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- Non-exponential discounting portfolio management with habit formation
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Mean-variance portfolio optimization with state-dependent risk aversion
- The optimal investment problem with inflation and liquidity risk
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Optimal investment strategies for a class of risky assets with jump-diffusion dependence under the stochastic interest rate
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
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