Dynamic mean-variance problem with constrained risk control for the insurers

Mathematical Methods of Operations Research

Volumn 68, Issue 1, 2008, Pages 181-205

  Bai, Lihua ^a   Zhang, Huayue ^a  

^a NANKAI UNIVERSITY   (China)

Author keywords

Efficient frontier; Efficient strategy; Hamilton Jacobi Bellman equation; Lagrange multiplier; Mean variance; Riccati equation; Viscosity solution

Indexed keywords

DIFFERENCE EQUATIONS; FINANCIAL DATA PROCESSING;

DIFFUSION MODELING; EFFICIENT FRONTIER; EFFICIENT FRONTIERS; EFFICIENT STRATEGY; HAMILTON-JACOBI-BELLMAN EQUATION; HAMILTON-JACOBI-BELLMAN EQUATIONS; LAGRANGE MULTIPLIER; MEAN-VARIANCE; RICCATI EQUATION; RISK CONTROL; RISK MODELING; STOCHASTIC LINEAR-QUADRATIC CONTROL; VERIFICATION THEOREM; VISCOSITY SOLUTION; VISCOSITY SOLUTIONS;

RISK ASSESSMENT;

EID: 49149103264     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-007-0195-4     Document Type: Article

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