Optimal investment and bounded ruin probability: Constant portfolio strategies and mean-variance analysis

ASTIN Bulletin

Volumn 38, Issue 2, 2008, Pages 423-440

  Korn, Ralf ^a   Wiese, Anke ^b  

^a University of Koblenz Landau   (Germany)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

Optimal investment; Ruin process; Utility maximization under constraints

Indexed keywords

EID: 58049203900     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.38.2.2033348     Document Type: Article

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