Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer

被引：5

作者：

Bi, Junna ^{[1
]}

Guo, Junyi ^{[1
]}

Bai, Lihua ^{[1
]}

机构：

[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2011年 / 24卷 / 02期

基金：

中国国家自然科学基金;

关键词：

HJB equation; mean-variance portfolio selection; optimal investment; verification theorem; viscosity solution; CONTINUOUS-TIME MODEL; PORTFOLIO SELECTION; EXPONENTIAL UTILITY; RISK PROCESS; FRAMEWORK; RUIN;

D O I：

10.1007/s11424-011-8014-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. This paper obtains the optimal investment policy using the stochastic linear quadratic (LQ) control theory with no-shorting constraint. Then the efficient strategy (optimal investment strategy) and efficient frontier are derived explicitly by a verification theorem with the viscosity solution of Hamilton-Jacobi-Bellman (HJB) equation.

引用

页码：291 / 307

页数：17

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