An analytical solution for the robust investment-reinsurance strategy with general utilities
Year of publication: |
2022
|
---|---|
Authors: | He, Yong ; Zhou, Xia ; Chen, Peimin ; Wang, Xiaoyang |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 63.2022, p. 1-15
|
Subject: | Ambiguity | General utility function | Hamilton-Jacobi-Bellman (HJB) equation | Homotopy analysis method | Taylor series expansion | Theorie | Theory | Nutzen | Utility | Nutzenfunktion | Utility function |
-
A numerical solution of optimal portfolio selection problem with general utility functions
Ma, Guiyuan, (2020)
-
A logarithmic goal programming approach to develop the utility function for a railway travel
Dutta, Goutam, (2015)
-
Natesan, Sumeetha R., (2020)
- More ...
-
Commercial MortgageāBacked Security Pricing with Real Estate Liquidity Risk
Chen, Peimin, (2019)
-
Default prediction with dynamic sectoral and macroeconomic frailties
Chen, Peimin, (2014)
-
Volatility forecasts by clustering$applications for VaR estimation
Wang, Zijin, (2024)
- More ...