Mean-variance portfolio selection for an insurer in theMarkov-modulated market
首发时间:2015-12-11
Abstract:This paper studies the optimal investment strategy foran insurer under Markowitz's mean-variance criterion. The insurercan invest in a bond and multiple stocks in a financial market. Themarket parameters, including the interest rate of the bond and theappreciation and volatility rates of the stocks, are modulated by aMarkov chain with finite states. The risk process is described by aclassical compound Poisson model. Using techniques of stochasticlinear-quadratic (LQ) control, the paper obtains the optimalinvestment strategy and efficient frontier.
keywords: probability efficient frontier mean-variancecriterion Markov-modulated market portfolio selection
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No.4669068112052914****
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马尔科夫调节市场中保险公司的均值方差投资组合策略
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