The optimal mean–variance investment strategy under value-at-risk constraints
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DOI: 10.1016/j.insmatheco.2012.05.004
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Cited by:
- Bi, Junna & Cai, Jun, 2019. "Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 1-14.
- Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi, 2021. "Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 168-184.
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Keywords
Value-at-risk; Mean–variance portfolio; Hamilton–Jacobi–Bellman equation; Optimal investment strategy;All these keywords.
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