Ye, Jun; Li, Tiantian - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 344-351
This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in the mean–variance portfolio selection problem for an insurer who receives a stochastic cash flow which he must then invest in a continuous-time financial market. For simplicity, we assume that...