Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
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Publication:2871726
DOI10.1080/00207179.2012.735373zbMath1278.91155OpenAlexW2035639783MaRDI QIDQ2871726
Yan Zeng, Huiling Wu, Zhong-Fei Li
Publication date: 9 January 2014
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2012.735373
Hamilton-Jacobi-Bellman equationLévy processesduality theorybenchmark and mean-variance criteriaexogenous cash flow
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (6)
Robust optimal asset-liability management with penalization on ambiguity ⋮ Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Stochastic differential game formulation on the reinsurance and investment problem ⋮ Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market ⋮ Dynamic asset-liability management problem in a continuous-time model with delay
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