Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility.

Zhongyang Sun Junyi Guo

Published in: Math. Methods Oper. Res. (2018)

Keyphrases

investment strategies
optimal solution
decision making
stock market
dynamic programming
optimal control
worst case
monte carlo
stock price
locally optimal
neural network
optimal strategy
long run
financial markets
learning automata
stochastic dynamic programming