Optimal active lifetime investment (Q6040955)

scientific article; zbMATH DE number 7688982

Language	Label	Description	Also known as
English	Optimal active lifetime investment	scientific article; zbMATH DE number 7688982

Statements

instance of

scholarly article

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title

Optimal active lifetime investment (English)

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International Journal of Control

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publication date

25 May 2023

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zbMATH Keywords

active investment

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lifetime

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Markov chain approximation

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Gompertz-Makeham distribution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207179.2021.1979252

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cites work

Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

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Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates

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Risk sensitive control of the lifetime ruin problem

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Minimizing the Probability of Lifetime Ruin under Random Consumption

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Optimally investing to reach a bequest goal

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Optimal Tracking Portfolio with a Ratcheting Capital Benchmark

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Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark

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Risk-Constrained Dynamic Active Portfolio Management

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Controlled Markov processes and viscosity solutions

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Optimal portfolio selection and dynamic benchmark tracking

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Minimizing the lifetime ruin under borrowing and short-selling constraints

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Optimal investment for investors with state dependent income, and for insurers

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Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods

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Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation

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Q2703816

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A pair of optimal reinsurance-investment strategies in the two-sided exit framework

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Lifetime ruin under high-water mark fees and drift uncertainty

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Minimizing the probability of lifetime exponential Parisian ruin

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Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

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Optimum consumption and portfolio rules in a continuous-time model

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Continuous-Time Red and Black: How to Control a Diffusion to a Goal

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On minimizing the ruin probability by investment and reinsurance

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Convergence of Markov chain approximation on generalized HJB equation and its applications

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Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes

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Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance

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Optimal investment for insurer with jump-diffusion risk process

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Tracking a Financial Benchmark Using a Few Assets

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Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Identifiers

zbMATH Open document ID

1514.91177

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DOI

10.1080/00207179.2021.1979252

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6040955