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Search: subject:"Mean-variance criterion"
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Subject
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Portfolio selection
29
Portfolio-Management
29
Mean-variance criterion
23
Theorie
19
Theory
19
Stochastic process
12
Stochastischer Prozess
12
Reinsurance
11
Rückversicherung
11
Time consistency
6
Zeitkonsistenz
5
mean-variance criterion
5
Analysis
4
Efficient frontier
4
Equilibrium strategy
4
Mathematical analysis
4
Mean–variance criterion
4
Option pricing theory
4
Optionspreistheorie
4
Risikoaversion
4
Risk aversion
4
Altersvorsorge
3
Backward stochastic differential equation
3
Insurer
3
Mathematical programming
3
Mathematische Optimierung
3
Optimal Asset Allocation
3
Pension fund
3
Pensionskasse
3
Retirement provision
3
Stochastic control
3
Time inconsistency
3
Time-consistent strategy
3
VIX Futures
3
Volatility
3
Volatilität
3
Asset-liability management
2
Betriebliche Altersversorgung
2
Black–Litterman Model
2
Common shock
2
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Undetermined
33
Free
4
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Article
37
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1
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1
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English
32
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10
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Zeng, Yan
8
Li, Danping
7
Li, Bin
4
Zhao, Hui
4
Alexander, Carol
3
Bi, Junna
3
Korovilas, Dimitris
3
Li, Zhongfei
3
Rong, Ximin
3
Shen, Yang
3
Yuen, Kam Chuen
3
Lai, Yongzeng
2
Liang, Zhibin
2
Sotirov, Renata
2
Sun, Zhongyang
2
Young, Virginia R.
2
Alia, Ishak
1
Avinadav, Tal
1
Bangur, Peeyush
1
COHEN, ALLON
1
Cai, Jun
1
Cao, Jingyi
1
Chang, Hao
1
Chen, Jiachen
1
Chen, Zhiping
1
Chernonog, Tatyana
1
Chighoub, Farid
1
Czichowsky, Christoph
1
Eini, Esmat Jamshidi
1
Gu, Ailing
1
Guan, Guohui
1
Guo, Junyi
1
Guo, Xianping
1
Hajiagha, Seyed Hossein Razavi
1
Hashemi, Shide Sadat
1
Jiang, Wenjun
1
Khaloozadeh, Hamid
1
LEVY, HAIM
1
Landriault, David
1
Li, Dongchen
1
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Henley Business School, University of Reading
2
Tilburg University, Center for Economic Research
1
University of Bonn, Germany
1
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Insurance / Mathematics & economics
17
Mathematical methods of operations research
3
ICMA Centre Discussion Papers in Finance
2
Insurance: Mathematics and Economics
2
Journal of economic dynamics & control
2
Annals of Financial Economics (AFE)
1
Applied economics
1
Computational Optimization and Applications
1
Discussion Paper / Tilburg University, Center for Economic Research
1
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1
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1
Economic modelling
1
European Journal of Operational Research
1
European journal of operational research : EJOR
1
Finance and Stochastics
1
IMA journal of management mathematics
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Modern economy
1
Omega : the international journal of management science
1
RAIRO / Operations research
1
Scandinavian actuarial journal
1
The journal of investment strategies
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ECONIS (ZBW)
32
RePEc
10
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42
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1
Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework
Yang, Peng
;
Chen, Zhiping
- In:
IMA journal of management mathematics
34
(
2023
)
4
,
pp. 661-694
Persistent link: https://www.econbiz.de/10014389017
Saved in:
2
Optimal insurance design under mean-variance preference with narrow framing
Liang, Xiaoqing
;
Jiang, Wenjun
;
Zhang, Yiying
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 59-79
Persistent link: https://www.econbiz.de/10014446726
Saved in:
3
Stackelberg differential game for reinsurance : mean-variance framework and random horizon
Li, Danping
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 42-55
Persistent link: https://www.econbiz.de/10013271955
Saved in:
4
Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Guan, Guohui
;
Li, Bin
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013539527
Saved in:
5
Parameter uncertainty in estimation of portfolio efficiency : evidence from an interval diversification-consistent DEA approach
Xiao, Helu
;
Ren, Tiantian
;
Zhou, Zhongbao
;
Liu, Wenbin
- In:
Omega : the international journal of management science
103
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012581724
Saved in:
6
Optimal reinsurance under the α-maxmin
mean-variance
criterion
Zhang, Liming
;
Li, Bin
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 225-239
Persistent link: https://www.econbiz.de/10012793925
Saved in:
7
The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
Eini, Esmat Jamshidi
;
Khaloozadeh, Hamid
- In:
Insurance / Mathematics & economics
98
(
2021
),
pp. 44-50
Persistent link: https://www.econbiz.de/10012545260
Saved in:
8
Strangle to resuscitate : evidence from India
Bangur, Peeyush
- In:
The journal of investment strategies
9
(
2020
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012597132
Saved in:
9
Optimal reinsurance-investment strategy for a dynamic contagion claim model
Cao, Jingyi
;
Landriault, David
;
Li, Bin
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 206-215
Persistent link: https://www.econbiz.de/10012294125
Saved in:
10
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang
;
Zhang, Xin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
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