An optimal investment strategy with maximal risk aversion and its ruin probability
Begoña Fernández; Daniel Hernández-Hernández; Ana Meda; Patricia Saavedra
| Year of publication: |
2008
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|---|---|
| Authors: | Fernández, Begoña ; Hernández-Hernández, Daniel ; Meda, Ana ; Saavedra, Patricia |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 68.2008, 1, p. 159-179
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| Subject: | lundberg parameter | Hamilton-Jacobi-Bellman equation | Rücklage | Reserves for contingencies | Risikoaversion | Risk aversion | Portfolio-Management | Portfolio selection | Institutioneller Investor | Institutional investor | Kontrolltheorie | Control theory | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003748390