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type_genre:"Article in journal"
~language:"eng"
~person:"Li, Zhongfei"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Portfolio selection
19
Portfolio-Management
19
Theorie
15
Theory
15
Altersvorsorge
5
Pension fund
5
Pensionskasse
5
Retirement provision
5
Risikoaversion
5
Risk aversion
5
Stochastic process
5
DC pension plan
4
Reinsurance
4
Robust statistics
4
Robustes Verfahren
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Rückversicherung
4
Time consistency
4
Zeitkonsistenz
4
CAPM
3
Insurance
3
Versicherung
3
Decision under uncertainty
2
Dynamic programming
2
Dynamische Optimierung
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Entscheidung unter Unsicherheit
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Equilibrium strategy
2
Interest rate
2
Loss aversion
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Martingale approach
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Statistical distribution
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Statistische Verteilung
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Stochastic interest rate
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Stochastic volatility
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Utility maximization
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Volatility
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Volatilität
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Zins
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AAM
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Ambiguity-Averse Insurer
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Article
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Article in journal
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English
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Li, Zhongfei
Escobar, Marcos
13
Post, Thierry
10
Wong, Wing Keung
10
Liang, Zongxia
8
Leung, Tim
7
Shen, Yang
7
Young, Virginia R.
7
Guan, Guohui
6
Runggaldier, Wolfgang J.
6
Steffensen, Mogens
6
Wong, Hoi Ying
6
Bayraktar, Erhan
5
Bo, Lijun
5
Branger, Nicole
5
Consigli, Giorgio
5
Kopa, Miloš
5
Kraft, Holger
5
Li, Danping
5
Liang, Zhibin
5
Luo, Xiaolin
5
Rubtsov, Alexey
5
Siu, Tak Kuen
5
Topaloglou, Nikolas
5
Tzeng, Larry Y.
5
Zeng, Yan
5
Zhuo, Jin
5
Alghalith, Moawia
4
Chen, Zhiping
4
Cheng, Yuyang
4
Ferrando, Sebastian
4
Guo, Junyi
4
Guo, Xu
4
Karatzas, Ioannis
4
Korn, Ralf
4
Lehalle, Charles-Albert
4
Liang, Xiaoqing
4
Mulvey, John M.
4
Sass, Jörn
4
Shevchenko, Pavel V.
4
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Insurance / Mathematics & economics
3
Annals of finance
1
European journal of operational research : EJOR
1
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ECONIS (ZBW)
5
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1
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
Saved in:
2
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang
;
Li, Zhongfei
;
Li, Duan
- In:
European journal of operational research : EJOR
252
(
2016
)
3
,
pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
Saved in:
3
Dynamic portfolio selection with mispricing and model ambiguity
Yi, Bo
;
Viens, Frederi G.
;
Law, Baron
;
Li, Zhongfei
- In:
Annals of finance
11
(
2015
)
1
,
pp. 37-75
Persistent link: https://www.econbiz.de/10011376170
Saved in:
4
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
Saved in:
5
Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
Wu, Huiling
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
50
(
2012
)
3
,
pp. 371-384
Persistent link: https://www.econbiz.de/10009544166
Saved in:
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