Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
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Publication:646755
DOI10.1007/S11424-011-8014-7zbMATH Open1237.91123OpenAlexW2035294824MaRDI QIDQ646755FDOQ646755
Authors: Lihua Bai, Junna Bi, Junyi Guo 
Publication date: 17 November 2011
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-8014-7
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Cites Work
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- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Convex Programming and Duality in Normed Space
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Optimal investment for an insurer: the martingale approach
- Stochastic Verification Theorems within the Framework of Viscosity Solutions
- Asymptotic ruin probabilities and optimal investment
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
Cited In (11)
- Optimal multi-period mean-variance policy under no-shorting constraint
- Optimal investment problem for an insurer and a reinsurer
- 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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