Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Junna Bi, Zhibin Liang, Kam Chuen Yuen
| Year of publication: |
2019
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|---|---|
| Authors: | Bi, Junna ; Liang, Zhibin ; Yuen, Kam Chuen |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 90.2019, 1, p. 109-135
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| Subject: | Common shock | Efficient frontier | Mean–variance criterion | Optimalinvestment-reinsurance strategy | Regime-switching | Stochastic control | Schock | Shock | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-018-00657-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116630