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Optimal investment strategy for defined contribution pension scheme under the Heston volatility model

Okonkwo, Chidi U.; Osu, Bright O.; Ihedioha, Silas A.; … - In: Journal of mathematical finance 8 (2018) 4, pp. 613-622

Persistent link: https://www.econbiz.de/10012016220

Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86

Persistent link: https://www.econbiz.de/10011825217

Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes

Gong, Xiaoli; Zhuang, Xintian - In: The North American journal of economics and finance : a … 40 (2017), pp. 148-159

Persistent link: https://www.econbiz.de/10011878807

An optimal investment strategy for insurers in incomplete markets

Badaoui, Mohamed; Fernández Cabaleiro, Begoña; … - In: Risks : open access journal 6 (2018) 2, pp. 1-23

In this paper we consider the problem of an insurance company where the wealth of the insurer is described by a Cramér-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic factor and the remaining surplus in a...

Persistent link: https://www.econbiz.de/10011865623

Optimal portfolio choice in a jump-diffusion model with self-exciting

Bian, Baojun; Chen, Xinfu; Zeng, Xudong - In: Journal of mathematical finance 9 (2019) 3, pp. 345-367

Persistent link: https://www.econbiz.de/10012210282

Robust optimal reinsurance and investment strategies for an AAI with multiple risks

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 89 (2019), pp. 63-78

Persistent link: https://www.econbiz.de/10012133510

A penny saved is a penny earned : less expensive zero coupon bonds

Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2016

Persistent link: https://www.econbiz.de/10011778099

Portfolio optimization and stochastic volatility asymptotics

Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745

Persistent link: https://www.econbiz.de/10011764969

Approximate hedging problem with transaction costs in stochastic volatility markets

Thai Huu Nguyen; Pergamenshchikov, Serguei - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 832-865

Persistent link: https://www.econbiz.de/10011764979

Portfolio optimization problem with delay under Cox-Ingersoll-Ross model

A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717

Persistent link: https://www.econbiz.de/10011752489