The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes-Reference-Cited by-同舟云学术

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The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes

Published:2023-11-24 Issue: Volume: Page:1-0
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Liu Jinyang¹,Li Sheng²^ORCID,He Yong³,Tian Boping¹,Deng Li⁴

Affiliation:

1. School of Mathematics, Harbin Institute of Technology, Harbin, China

2. School of Statistics, Chengdu University of Information Technology, Chengdu, China

3. School of Mathematics, Physics and Data Science, Chongqing University of Science and Technology, Chongqing, China

4. Sichuan Vocational College of Finance and Economics, Chengdu, China

Funder

General Program of Chongqing Natural Science Foundation

Science and Technology Research Program of Chongqing Municipal Education Commission

China Postdoctoral Science Foundation

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2023.2281896

Reference23 articles.

1. Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model

2. Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform

3. An Investment and Consumption Problem with CIR Interest Rate and Stochastic Volatility

4. Legendre Transform-Dual Solution for a Class of Investment and Consumption Problems with HARA Utility

5. Finite Horizon Optimal Investment and Consumption with Transaction Costs

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