Optimal reinsurance-investment with loss aversion under rough Heston model
Author:
Affiliation:
1. School of Mathematics, Southwestern University of Finance and Economics, Chengdu, 611130, People's Republic of China
2. School of Finance, Anhui University of Finance and Economics, Bengbu, 233030, People's Republic of China
Funder
National Natural Science Foundation of China
the Fundamental Research Funds for the Central Universities
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2140308
Reference40 articles.
1. Lifting the Heston model
2. Multifactor Approximation of Rough Volatility Models
3. Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models
4. Regime switching rough Heston model
5. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
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