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person:"Li, Zhongfei"
~subject:"Option pricing theory"
~subject:"Rückversicherung"
~subject:"Stochastischer Prozess"
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Option pricing theory
Rückversicherung
Stochastischer Prozess
Utility maximization
4
Portfolio selection
3
Ambiguity-Averse Insurer
2
Mispricing
2
Model ambiguity
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Portfolio-Management
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Stochastic process
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Entscheidung unter Unsicherheit
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Financial economics
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Kapitalmarkttheorie
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Kontrolltheorie
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Optionspreistheorie
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Risikoaversion
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Risikoprämie
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Risk premium
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Robust statistics
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Li, Zhongfei
Leung, Tim
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Lim, Thomas
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Lin, Hongcan
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Mostovyi, Oleksii
2
Saunders, David M.
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Schachermayer, Walter
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Viens, Frederi G.
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Weng, Chengguo
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Yi, Bo
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Annals of finance
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Insurance / Mathematics & economics
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ECONIS (ZBW)
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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:
2
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
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