Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
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Publication:2698613
DOI10.3934/jimo.2022251OpenAlexW4312269336MaRDI QIDQ2698613
Publication date: 24 April 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022251
stochastic volatilityportfolio optimizationefficient frontierefficient strategymean-variance criteria
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Existence theories for optimal control problems involving partial differential equations (49J20)
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