Alpha-robust mean-variance reinsurance-investment strategy-Reference-Cited by-同舟云学术

Alpha-robust mean-variance reinsurance-investment strategy

Published:2016-09 Issue: Volume:70 Page:101-123
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Li Bin,Li Danping,Xiong Dewen

Funder

Natural Sciences and Engineering Research Council of Canada

National Natural Science Foundation of China

Natural Science of Shanghai

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference48 articles.

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3. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection;Bai;Sci. China Math.,2010

4. Dynamic mean-variance problem with constrained risk control for the insurers;Bai;Math. Methods Oper. Res.,2008

5. Dynamic mean-variance asset allocation;Basak;Rev. Financ. Stud.,2010

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