A BSDE approach to a risk-based optimal investment of an insurer.

Robert J. Elliott Tak Kuen Siu

Published in: Autom. (2011)

Keyphrases

decision making
risk neutral
risk aversion
optimal portfolio
risk averse
investment decisions
conditional expectation
portfolio selection
portfolio management
investment strategies
database
long run
return on investment
risk analysis
risk management
optimal solution
case study
real time