Search Results - subject:"Mean–variance criterion"

Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10011990589

Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market

Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen - In: Mathematical methods of operations research 90 (2019) 1, pp. 109-135

Persistent link: https://www.econbiz.de/10012116630

Optimal investment problem for life insurance company by considering health-level

Chen, Jiachen; Rong, Ximin; Zhao, Hui - In: Modern economy 10 (2019) 4, pp. 1107-1120

Persistent link: https://www.econbiz.de/10012104774

Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, WenJun - In: Insurance / Mathematics & economics 88 (2019), pp. 159-180

Persistent link: https://www.econbiz.de/10012105537

Bi-objective mean-variance method based on Chebyshev inequality bounds for multi-objective stochastic problems

Mahdiraji, Hannan Amoozad; Hajiagha, Seyed Hossein Razavi; … - In: RAIRO / Operations research 52 (2018) 4/5, pp. 1201-1217

Persistent link: https://www.econbiz.de/10011987285

Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility

Sun, Zhongyang; Guo, Junyi - In: Mathematical methods of operations research 88 (2018) 1, pp. 59-79

Persistent link: https://www.econbiz.de/10011903385

Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86

Persistent link: https://www.econbiz.de/10011825217

Diversification of Equity with VIX Futures: Personal Views and Skewness Preference

Alexander, Carol; Korovilas, Dimitris - Henley Business School, University of Reading - 2012

A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange-traded notes motivates our study of their benefits to equity investors seeking to diversify their exposure. We analyze when diversification into VIX futures is ex-ante optimal for...

Persistent link: https://www.econbiz.de/10010838039

Diversification of equity with VIX futures : personal views and skewness preference

Alexander, Carol; Korovilas, Dimitris - 2012

Persistent link: https://www.econbiz.de/10009520567

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

Li, Danping; Rong, Ximin; Zhao, Hui; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 6-20

Persistent link: https://www.econbiz.de/10011691490