Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Asymptotic ruin probabilities and optimal investment
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex Programming and Duality in Normed Space
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Dynamic mean-variance problem with constrained risk control for the insurers
- 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
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment for an insurer with exponential utility preference
- Optimal investment for an insurer: the martingale approach
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- Stochastic Verification Theorems within the Framework of Viscosity Solutions
Cited in
(11)- Optimal investment problem for an insurer and a reinsurer
- Optimal multi-period mean-variance policy under no-shorting constraint
- Asset and liability management with no-shorting constraints of an insurance company
- Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment
- Investment strategy for insurers under mean-variance criterion without terminal constraint
- Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
- A nonlinear interval portfolio selection model and its application in banks
- Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
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