Alpha-robust mean-variance reinsurance and investment strategies with transaction costs

Cites Work

Dynamic portfolio choice with frictions
Robust portfolio choice with stochastic interest rates
Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
Preference and belief: ambibiguity and competence in choice under uncertainty
Benchmark and mean-variance problems for insurers
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Alpha-robust mean-variance reinsurance-investment strategy
Mean-variance portfolio selection under a non-Markovian regime-switching model
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Robust time-inconsistent stochastic control problems
Differentiating ambiguity and ambiguity attitude
Dynamic portfolio choice with return predictability and transaction costs
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Dynamic portfolio selection with mispricing and model ambiguity
Dynamic mean-variance problem with frictions
Fused Lasso approach in portfolio selection
Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Robust investment-reinsurance optimization with multiscale stochastic volatility
Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
Continuous-Time Markowitz's Model with Transaction Costs
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
Optimal consumption and investment under transaction costs*
MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
Probabilistic Sophistication and Multiple Priors
Lifetime investment and consumption with recursive preferences and small transaction costs
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

This page was built for publication: Alpha-robust mean-variance reinsurance and investment strategies with transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6653506)