OPTIMAL INVESTMENT WITH MULTIPLE RISKY ASSETS UNDER SHORT-SELLING PROHIBITION IN A PERIODIC ENVIRONMENT

被引：0

作者：

Shanshan WANG ^{[1
]}

Chunsheng ZHANG ^{[2
]}

机构：

[1] Department of Mathematics,Tianjin Polytechnic University

[2] School of Mathematical Sciences and LPMC,Nankai University

来源：

Journal of Systems Science & Complexity | 2012年 / 25卷 / 04期

关键词：

Adjustment coefficient; exponential utility; Ito formula; optimal strategy; periodic environment; ruin probability;

D O I：

暂无

中图分类号：

F840 [保险理论]; O211.67 [期望与预测];

学科分类号：

020204 ; 020208 ; 070103 ; 0714 ; 120404 ;

摘要：

In this paper,the surplus process is assumed to be a periodic risk model and the insurer is allowed to invest in multiple risky assets described by the Black-Scholes market model.Under short-selling prohibition,the authors consider the optimal investment from an insurer’s point of view by maximizing the adjustment coefficient and the expected exponential utility of wealth at one period, respectively.It is shown that the optimal strategies of both of optimization problems are to invest a fixed amount of money in each risky asset.

引用

页码：691 / 706

页数：16

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