Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
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Publication:646755
DOI10.1007/s11424-011-8014-7zbMath1237.91123OpenAlexW2035294824MaRDI QIDQ646755
Lihua Bai, Jun-Yi Guo, Jun-na Bi
Publication date: 17 November 2011
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-8014-7
viscosity solutionHJB equationverification theoremoptimal investmentmean-variance portfolio selection
Related Items (5)
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility ⋮ Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers ⋮ A nonlinear interval portfolio selection model and its application in banks ⋮ Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching ⋮ Optimal investment problem for an insurer and a reinsurer
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