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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence.
Zhibin Liang
Junna Bi
Kam Chuen Yuen
Caibin Zhang
Published in:
Math. Methods Oper. Res. (2016)
Keyphrases
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financial markets
investment strategies
portfolio selection
optimal portfolio
market data
stock market
stock price
dynamic programming
financial institutions
technical indicators
decision making
portfolio optimization
case study
long term
real option