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Lanzhou University of Finance and Economics. All
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Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS, 2019, 2019, 2019, 2019, 2019, 卷号: 89, 89, 89, 89, 89, 页码: 157-170, 157-170, 157-170, 157-170, 157-170
作者:
Sun, Jingyun
;
Yao, Haixiang
;
Kang, Zhilin
Adobe PDF(553Kb)
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收藏
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浏览/下载：171/7
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提交时间：2021/03/24
Ambiguity-averse insurer
Ambiguity-averse insurer
Ambiguity-averse insurer
Ambiguity-averse insurer
Ambiguity-averse insurer
Robust optimal control
Robust optimal control
Robust optimal control
Robust optimal control
Robust optimal control
Multiple dependent risks
Multiple dependent risks
Multiple dependent risks
Multiple dependent risks
Multiple dependent risks
Square-root factor process
Square-root factor process
Square-root factor process
Square-root factor process
Square-root factor process
Suboptimal strategy
Suboptimal strategy
Suboptimal strategy
Suboptimal strategy
Suboptimal strategy
Utility loss
Utility loss
Utility loss
Utility loss
Utility loss
ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE
期刊论文
Journal of Industrial and Management Optimization, 2023, 卷号: 19, 期号: 10, 页码: 7540-7564
作者:
Sun, Jingyun
;
Yao, Haixiang
;
Li, Zhongfei
收藏
|
浏览/下载：86/0
|
提交时间：2023/06/25
Commerce
Continuous time systems
Elasticity
Financial markets
Investments
Optimization
Stochastic control systems
Strategic planning
Allocation problems
Ambiguity averse
Ambiguity-averse investor
Asset allocation
Constant elasticity of variances
Investment strategy
Optimal investments
Pension funds
Power utility
Robust-optimal controls
ROBUST OPTIMAL INVESTMENT STRATEGY FOR A DC PENSION PLAN IN THE MARKET WITH MISPRICING AND CONSTANT ELASTICITY OF VARIANCE
期刊论文
Journal of Industrial and Management Optimization, 2023, 卷号: 19, 期号: 10, 页码: 7540-7564
作者:
Sun, Jingyun
;
Yao, Haixiang
;
Li, Zhongfei
收藏
|
浏览/下载：121/0
|
提交时间：2023/05/31
Commerce
Continuous time systems
Elasticity
Financial markets
Investments
Optimization
Stochastic control systems
Strategic planning
Allocation problems
Ambiguity averse
Ambiguity-averse investor
Asset allocation
Constant elasticity of variances
Investment strategy
Optimal investments
Pension funds
Power utility
Robust-optimal controls
Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model
期刊论文
MATHEMATICS, 2023, 卷号: 11, 期号: 17
作者:
Ma, Aiqin
;
Zhang, Cuiyun
;
Wang, Yubing
收藏
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浏览/下载：29/0
|
提交时间：2023/09/27
4/2 stochastic volatility
CIR interest rate
optimal strategy
CRRA utility
HJB equation
