Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Dengsheng Chen, Yong He, Ziqiang Li
| Year of publication: |
2023
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| Authors: | Chen, Dengsheng ; He, Yong ; Li, Ziqiang |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 67.2023, p. 1-11
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| Subject: | Delay | Heston's stochastic volatility | Reinsurance-investment problem | α-maxmin criterion | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2023.101921 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014484002