Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion

DOI10.1002/oca.2252zbMath1362.93170OpenAlexW2304204637MaRDI QIDQ5346595

Zhibin Liang, Caibin Zhang

Publication date: 26 May 2017

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2252

zbMATH Keywords

portfolioHamilton-Jacobi-Bellman equationtime-consistent strategyjump-diffusion processcommon shockmean-variance utilitystate dependent risk aversion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (15)

Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market ⋮ Time-consistent mean-variance portfolio optimization: a numerical impulse control approach ⋮ Non-exponential discounting portfolio management with habit formation ⋮ Optimal dividends and reinsurance with capital injection under thinning dependence ⋮ The optimal investment problem with inflation and liquidity risk ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks ⋮ Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach ⋮ Robust optimal reinsurance-investment strategy with price jumps and correlated claims ⋮ Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems ⋮ Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

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