Dynamic mean-variance problem with constrained risk control for the insurers
type: Item
instance of: scholarly article
title: Dynamic mean-variance problem with constrained risk control for the insurers
zbMATH Open document ID: 1156.93037
author: Lihua Bai
author: Huayue Zhang
published in: Mathematical Methods of Operations Research
publication date: 2009-03-25T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 5532803
zbMATH Keywords: mean-variance
zbMATH Keywords: efficient frontier
zbMATH Keywords: efficient strategy
zbMATH Keywords: Hamilton-Jacobi-Bellmann equation
zbMATH Keywords: Riccati equation
zbMATH Keywords: viscosity solution
zbMATH Keywords: Lagrange multiplier
MaRDI profile type: Publication
full work available at URL: s00186-007-0195-4
OpenAlex ID: W2017885867
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DOI: 10.1007/S00186-007-0195-4
description: scientific article; zbMATH DE number 5532803