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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] |
Ishak Alia, Mohamed Sofiane Alia. Open-loop equilibrium strategy for mean-variance Portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022048 |
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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 and Management Optimization, 2022, 18 (2) : 1393-1423. doi: 10.3934/jimo.2021025 |
| [3] |
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 and Management Optimization, 2016, 12 (4) : 1521-1533. doi: 10.3934/jimo.2016.12.1521 |
| [4] |
Ping Chen, Haixiang Yao. Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching. Journal of Industrial and Management Optimization, 2020, 16 (2) : 531-551. doi: 10.3934/jimo.2018166 |
| [5] |
Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model. Journal of Industrial and Management Optimization, 2021, 17 (2) : 765-777. doi: 10.3934/jimo.2019133 |
| [6] |
Zhen Wang, Sanyang Liu. Multi-period mean-variance portfolio selection with fixed and proportional transaction costs. Journal of Industrial and Management Optimization, 2013, 9 (3) : 643-657. doi: 10.3934/jimo.2013.9.643 |
| [7] |
Ning Zhang. A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems. Journal of Industrial and Management Optimization, 2020, 16 (2) : 991-1008. doi: 10.3934/jimo.2018189 |
| [8] |
Yingxu Tian, Junyi Guo, Zhongyang Sun. Optimal mean-variance reinsurance in a financial market with stochastic rate of return. Journal of Industrial and Management Optimization, 2021, 17 (4) : 1887-1912. doi: 10.3934/jimo.2020051 |
| [9] |
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 and Management Optimization, 2018, 14 (1) : 249-265. doi: 10.3934/jimo.2017045 |
| [10] |
Liming Zhang, Rongming Wang, Jiaqin Wei. Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021140 |
| [11] |
Yan Zeng, Zhongfei Li. Optimal reinsurance-investment strategies for insurers under mean-CaR criteria. Journal of Industrial and Management Optimization, 2012, 8 (3) : 673-690. doi: 10.3934/jimo.2012.8.673 |
| [12] |
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 and Management Optimization, 2020, 16 (2) : 813-834. doi: 10.3934/jimo.2018180 |
| [13] |
Haixiang Yao, Zhongfei Li, Yongzeng Lai. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial and Management Optimization, 2016, 12 (1) : 187-209. doi: 10.3934/jimo.2016.12.187 |
| [14] |
Qian Zhao, Yang Shen, Jiaqin Wei. Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework. Journal of Industrial and Management Optimization, 2021, 17 (3) : 1147-1171. doi: 10.3934/jimo.2020015 |
| [15] |
Zhiping Chen, Jia Liu, Gang Li. Time consistent policy of multi-period mean-variance problem in stochastic markets. Journal of Industrial and Management Optimization, 2016, 12 (1) : 229-249. doi: 10.3934/jimo.2016.12.229 |
| [16] |
Dingjun Yao, Kun Fan. Optimal risk control and dividend strategies in the presence of two reinsurers: Variance premium principle. Journal of Industrial and Management Optimization, 2018, 14 (3) : 1055-1083. doi: 10.3934/jimo.2017090 |
| [17] |
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 and Management Optimization, 2021, 17 (3) : 1383-1410. doi: 10.3934/jimo.2020026 |
| [18] |
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 and Management Optimization, 2018, 14 (2) : 653-671. doi: 10.3934/jimo.2017067 |
| [19] |
Shanjian Tang. A second-order maximum principle for singular optimal stochastic controls. Discrete and Continuous Dynamical Systems - B, 2010, 14 (4) : 1581-1599. doi: 10.3934/dcdsb.2010.14.1581 |
| [20] |
Nan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Markowitz's mean-variance optimization with investment and constrained reinsurance. Journal of Industrial and Management Optimization, 2017, 13 (1) : 375-397. doi: 10.3934/jimo.2016022 |
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