Dynamic mean-variance problem with constrained risk control for the insurers (Q1006562)
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scientific article; zbMATH DE number 5532803
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic mean-variance problem with constrained risk control for the insurers |
scientific article; zbMATH DE number 5532803 |
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Dynamic mean-variance problem with constrained risk control for the insurers (English)
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25 March 2009
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mean-variance
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efficient frontier
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efficient strategy
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Hamilton-Jacobi-Bellmann equation
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Riccati equation
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viscosity solution
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Lagrange multiplier
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