Markowitz's mean-variance optimization with investment and constrained reinsurance (Q2358493)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markowitz's mean-variance optimization with investment and constrained reinsurance |
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Markowitz's mean-variance optimization with investment and constrained reinsurance (English)
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15 June 2017
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mean-variance
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HJB equation
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viscosity solution
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Lagrange multiplier
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efficient strategy
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efficient frontier
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