-
Previous Article
A note on mixed type converse duality in multiobjective programming problems
- JIMO Home
- This Issue
-
Next Article
Levitin-Polyak well-posedness for variational inequalities and for optimization problems with variational inequality constraints
Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
| 1. | School of Mathematics and Computational Science, Sun Yat-sen University, Guangzhou 510275, China |
| 2. | Department of Risk Management and Insurance, Lingnan (University) College, Sun Yat-sen University, Guangzhou 510275, China, China |
| [1] |
Hao Chang, Jiaao Li, Hui Zhao. Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria. Journal of Industrial & Management Optimization, 2021 doi: 10.3934/jimo.2021025 |
| [2] |
Shuang Li, Chuong Luong, Francisca Angkola, Yonghong Wu. Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion. Journal of Industrial & Management Optimization, 2016, 12 (4) : 1521-1533. doi: 10.3934/jimo.2016.12.1521 |
| [3] |
Ping Chen, Haixiang Yao. Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching. Journal of Industrial & Management Optimization, 2020, 16 (2) : 531-551. doi: 10.3934/jimo.2018166 |
| [4] |
Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model. Journal of Industrial & Management Optimization, 2021, 17 (2) : 765-777. doi: 10.3934/jimo.2019133 |
| [5] |
Zhen Wang, Sanyang Liu. Multi-period mean-variance portfolio selection with fixed and proportional transaction costs. Journal of Industrial & Management Optimization, 2013, 9 (3) : 643-656. doi: 10.3934/jimo.2013.9.643 |
| [6] |
Ning Zhang. A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems. Journal of Industrial & Management Optimization, 2020, 16 (2) : 991-1008. doi: 10.3934/jimo.2018189 |
| [7] |
Yingxu Tian, Junyi Guo, Zhongyang Sun. Optimal mean-variance reinsurance in a financial market with stochastic rate of return. Journal of Industrial & Management Optimization, 2021, 17 (4) : 1887-1912. doi: 10.3934/jimo.2020051 |
| [8] |
Xianping Wu, Xun Li, Zhongfei Li. A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints. Journal of Industrial & Management Optimization, 2018, 14 (1) : 249-265. doi: 10.3934/jimo.2017045 |
| [9] |
Liming Zhang, Rongming Wang, Jiaqin Wei. Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints. Journal of Industrial & Management Optimization, 2021 doi: 10.3934/jimo.2021140 |
| [10] |
Yan Zeng, Zhongfei Li. Optimal reinsurance-investment strategies for insurers under mean-CaR criteria. Journal of Industrial & Management Optimization, 2012, 8 (3) : 673-690. doi: 10.3934/jimo.2012.8.673 |
| [11] |
Huai-Nian Zhu, Cheng-Ke Zhang, Zhuo Jin. Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks. Journal of Industrial & Management Optimization, 2020, 16 (2) : 813-834. doi: 10.3934/jimo.2018180 |
| [12] |
Haixiang Yao, Zhongfei Li, Yongzeng Lai. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial & Management Optimization, 2016, 12 (1) : 187-209. doi: 10.3934/jimo.2016.12.187 |
| [13] |
Qian Zhao, Yang Shen, Jiaqin Wei. Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework. Journal of Industrial & Management Optimization, 2021, 17 (3) : 1147-1171. doi: 10.3934/jimo.2020015 |
| [14] |
Zhiping Chen, Jia Liu, Gang Li. Time consistent policy of multi-period mean-variance problem in stochastic markets. Journal of Industrial & Management Optimization, 2016, 12 (1) : 229-249. doi: 10.3934/jimo.2016.12.229 |
| [15] |
Dingjun Yao, Kun Fan. Optimal risk control and dividend strategies in the presence of two reinsurers: Variance premium principle. Journal of Industrial & Management Optimization, 2018, 14 (3) : 1055-1083. doi: 10.3934/jimo.2017090 |
| [16] |
Lihua Bian, Zhongfei Li, Haixiang Yao. Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate. Journal of Industrial & Management Optimization, 2021, 17 (3) : 1383-1410. doi: 10.3934/jimo.2020026 |
| [17] |
Yan Wang, Yanxiang Zhao, Lei Wang, Aimin Song, Yanping Ma. Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer. Journal of Industrial & Management Optimization, 2018, 14 (2) : 653-671. doi: 10.3934/jimo.2017067 |
| [18] |
Shanjian Tang. A second-order maximum principle for singular optimal stochastic controls. Discrete & Continuous Dynamical Systems - B, 2010, 14 (4) : 1581-1599. doi: 10.3934/dcdsb.2010.14.1581 |
| [19] |
Nan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Markowitz's mean-variance optimization with investment and constrained reinsurance. Journal of Industrial & Management Optimization, 2017, 13 (1) : 375-397. doi: 10.3934/jimo.2016022 |
| [20] |
Jingzhen Liu, Ka Fai Cedric Yiu, Alain Bensoussan. The optimal mean variance problem with inflation. Discrete & Continuous Dynamical Systems - B, 2016, 21 (1) : 185-203. doi: 10.3934/dcdsb.2016.21.185 |
2020 Impact Factor: 1.801
Tools
Metrics
Other articles
by authors
[Back to Top]