Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
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Publication:654939
DOI10.3934/jimo.2010.6.483zbMath1269.90085OpenAlexW1981781684MaRDI QIDQ654939
Yan Zeng, Jingjun Liu, Zhong-Fei Li
Publication date: 28 December 2011
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2010.6.483
stochastic maximum principleoptimal strategiesjump diffusionbenchmark and mean-variance portfolio selectioninsurers
Nonconvex programming, global optimization (90C26) Duality theory (optimization) (49N15) Portfolio theory (91G10)
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