Constrained monotone mean–variance investment-reinsurance under the Cramér–Lundberg model with random coefficients-Reference-Cited by-同舟云学术

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Constrained monotone mean–variance investment-reinsurance under the Cramér–Lundberg model with random coefficients

Published:2024-06 Issue: Volume:188 Page:105796
ISSN:0167-6911
Container-title:Systems & Control Letters
language:en
Short-container-title:Systems & Control Letters

Author:

Shi Xiaomin^ORCID,Xu Zuo Quan^ORCID

Publisher

Elsevier BV

Reference19 articles.

1. Portfolio selection with monotone mean–variance preferences;Maccheroni;Math. Finance,2009

2. Continuous-time portfolio choice under monotone mean–variance preferences-stochastic factor case;Trybuła;Math. Oper. Res.,2019

3. Cone-constrained monotone mean–variance portfolio selection under diffusion models;Shen;SIAM J. Financial Math.,2022

4. Constrained stochastic LQ control with regime switching and application to portfolio selection;Hu;Ann. Appl. Probab.,2022

5. A note on monotone mean–variance preferences for continuous processes;Strub;Oper. Res. Lett.,2020

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