Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution

DOI10.1016/j.jedc.2022.104515OpenAlexW4292266547MaRDI QIDQ2098011

Yanyan Li

Publication date: 17 November 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104515

zbMATH Keywords

time inconsistencymean-variance criterionequilibrium strategysmooth ambiguitysecond-order distributionoptimal investment and reinsuranceconstant absolute ambiguity aversion

Mathematics Subject Classification ID

Cites Work

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