Open AccessMarkowitz's mean-variance optimization with investment and constrained reinsurance
Author(s) -
Nan Zhang,
Pïng Chen,
Zhuo Jin,
Shuanming Li
Publication year - 2016
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2016022
Subject(s) - hamilton–jacobi–bellman equation , reinsurance , efficient frontier , viscosity solution , mathematical optimization , stochastic control , asset (computer security) , variance (accounting) , investment strategy , investment (military) , economics , mathematics , computer science , econometrics , bellman equation , actuarial science , optimal control , finance , portfolio , computer security , accounting , politics , market liquidity , political science , law
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