Minimal expected time in drawdown through investment for an insurance diffusion model
Year of publication: |
2021
|
---|---|
Authors: | Brinker, Leonie Violetta |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 1/17, p. 1-18
|
Subject: | drawdown | optimal investment | stochastic control | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9010017 [DOI] hdl:10419/258107 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Minimizing the expected lifetime spent in drawdown under proportional consumption
Angoshtari, Bahman, (2015)
-
Optimally investing to reach a bequest goal
Bayraktar, Erhan, (2016)
-
Optimal proportional reinsurance and investment for stochastic factor models
Brachetta, M., (2019)
- More ...
-
Minimal expected time in drawdown through investment for an insurance diffusion model
Brinker, Leonie Violetta, (2021)
-
Dividend optimisation : a behaviouristic approach
Brinker, Leonie Violetta, (2021)
-
Optimisation of drawdowns by generalised reinsurance in the classical risk model
Brinker, Leonie Violetta, (2023)
- More ...