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Search: subject:"Time-consistent strategy"
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Portfolio selection
11
Portfolio-Management
11
Theorie
10
Theory
10
Time-consistent strategy
9
Time consistency
7
Zeitkonsistenz
7
Reinsurance
6
Rückversicherung
6
Stochastic process
4
Stochastischer Prozess
4
Decision under uncertainty
2
Entscheidung unter Unsicherheit
2
Equilibrium control law
2
Insurance
2
Mean-variance criterion
2
Reinsurance and investment
2
Risikomaß
2
Risk measure
2
Versicherung
2
time-consistent strategy
2
Abel's differential equation
1
Actuarial mathematics
1
Cash Flow
1
Cash flow
1
Conditional Value-at-Risk
1
Curse of dimensionality
1
Delay factors
1
Dynamic CVaR constraints
1
Dynamic global minimum-variance strategy
1
Dynamic programming
1
Dynamische Optimierung
1
Excess-of-loss reinsurance
1
Exponential utility
1
Extended Hamilton-Jacobi-Bellman (HJB) delay system
1
Extended dynamic programming
1
Financial market
1
Finanzmarkt
1
Forecasting model
1
Game theory
1
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English
11
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Guan, Guohui
2
Liang, Zhibin
2
Liang, Zongxia
2
Cong, F.
1
Cui, Xiangyu
1
Feng, Jian
1
Gao, Jianjun
1
Han, Xia
1
Lai, Yongzeng
1
Li, Danping
1
Li, Zhongfei
1
Lin, Ling
1
Oosterlee, Cornelis Willebrordus
1
Peng, Xingchun
1
Pun, Chi Seng
1
Rong, Ximin
1
Shi, Yun
1
Song, Min
1
Wang, Xiaojun
1
Wang, Yushuang
1
Xiao, Helu
1
Yin, Jialing
1
Yuan, Yu
1
Yuen, Kam Chuen
1
Zeng, Ximei
1
Zeng, Yan
1
Zhang, Caibin
1
Zhao, Hui
1
Zhou, Zhongbao
1
Zhu, Shushang
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Insurance / Mathematics & economics
4
European journal of operational research : EJOR
2
Economic modelling
1
Insurance: Mathematics and Economics
1
International journal of theoretical and applied finance
1
Scandinavian actuarial journal
1
The North American journal of economics and finance : a journal of financial economics studies
1
The North American journal of economics and finance : a journal of theory and practice
1
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ECONIS (ZBW)
11
RePEc
1
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1
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Yuan, Yu
;
Han, Xia
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
European journal of operational research : EJOR
311
(
2023
)
2
,
pp. 581-595
Persistent link: https://www.econbiz.de/10014336732
Saved in:
2
Optimal time-consistent reinsurance and investment strategies for a jump-diffusion financial market without cash
Zhang, Caibin
;
Liang, Zhibin
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413423
Saved in:
3
A non-zero-sum investment and reinsurance game between two mean-variance insurers with dynamic CVaR constraints
Peng, Xingchun
;
Wang, Yushuang
- In:
The North American journal of economics and finance : a …
70
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014492018
Saved in:
4
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
Guan, Guohui
;
Wang, Xiaojun
- In:
Scandinavian actuarial journal
2020
(
2020
)
8
,
pp. 677-699
Persistent link: https://www.econbiz.de/10012313721
Saved in:
5
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu
;
Gao, Jianjun
;
Shi, Yun
;
Zhu, Shushang
- In:
European journal of operational research : EJOR
276
(
2019
)
2
,
pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
Saved in:
6
Time-consistent mean-variance portfolio selection with only risky assets
Pun, Chi Seng
- In:
Economic modelling
75
(
2018
),
pp. 281-292
Persistent link: https://www.econbiz.de/10012101523
Saved in:
7
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Guan, Guohui
;
Liang, Zongxia
;
Feng, Jian
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 122-133
Persistent link: https://www.econbiz.de/10011944107
Saved in:
8
On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
Cong, F.
;
Oosterlee, Cornelis Willebrordus
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011763920
Saved in:
9
Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
Zhou, Zhongbao
;
Xiao, Helu
;
Yin, Jialing
;
Zeng, Ximei
; …
- In:
Insurance / Mathematics & economics
68
(
2016
),
pp. 187-202
Persistent link: https://www.econbiz.de/10011492670
Saved in:
10
Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
Liang, Zongxia
;
Song, Min
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 66-76
Persistent link: https://www.econbiz.de/10011422871
Saved in:
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