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Optimal investment for an insurer with cointegrated assets : CRRA utility
Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 52-64
Persistent link: https://www.econbiz.de/10009719005
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Dynamic safety first expected utility model
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 271 (2018) 1, pp. 141-154
Persistent link: https://www.econbiz.de/10011882786
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Optimal investment for insurers with correlation risk : risk aversion and investment horizon
Chiu, Mei Choi; Wong, Hoi Ying - In: IMA journal of management mathematics 29 (2018) 2, pp. 207-227
Persistent link: https://www.econbiz.de/10011888612
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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724