Optimal mean-variance investment/reinsurance with common shock in a regime-switching market.

Junna Bi Zhibin Liang Kam Chuen Yuen

Published in: Math. Methods Oper. Res. (2019)

Keyphrases

investment strategies
optimal portfolio
portfolio selection
decision making
risk aversion
asset allocation
stock market
optimal solution
stock exchange
market data
asymptotically optimal
real option
stock price
financial data
portfolio management
closed form
risk neutral
profit maximizing
utility function
lower bound