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Article: Optimal investment and premium control in a linear diffusion model

TitleOptimal investment and premium control in a linear diffusion model
Authors
Zhou, MYuen, KCYin, C
KeywordsCARA utility
dependent control policies
Hamilton-Jacobi-Bellman (HJB) equation
investment
premium control
Issue Date2017
PublisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10255/
Citation
Acta Mathematicae Applicatae Sinica, 2017, v. 33 n. 4, p. 945-958 How to Cite?
DOI: http://dx.doi.org/10.1007/s10255-017-0709-7
Persistent Identifierhttp://hdl.handle.net/10722/249691
ISSN
0168-9673
2021 Impact Factor: 0.691
2020 SCImago Journal Rankings: 0.309
ISI Accession Number ID
WOS:000418383600009

 

DC FieldValueLanguage
dc.contributor.authorZhou, M-
dc.contributor.authorYuen, KC-
dc.contributor.authorYin, C-
dc.date.accessioned2017-11-21T03:05:40Z-
dc.date.available2017-11-21T03:05:40Z-
dc.date.issued2017-
dc.identifier.citationActa Mathematicae Applicatae Sinica, 2017, v. 33 n. 4, p. 945-958-
dc.identifier.issn0168-9673-
dc.identifier.urihttp://hdl.handle.net/10722/249691-
dc.languageeng-
dc.publisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10255/-
dc.relation.ispartofActa Mathematicae Applicatae Sinica-
dc.rightsThe final publication is available at Springer via http://dx.doi.org/10.1007/s10255-017-0709-7-
dc.subjectCARA utility-
dc.subjectdependent control policies-
dc.subjectHamilton-Jacobi-Bellman (HJB) equation-
dc.subjectinvestment-
dc.subjectpremium control-
dc.titleOptimal investment and premium control in a linear diffusion model-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturepostprint-
dc.identifier.doi10.1007/s10255-017-0709-7-
dc.identifier.scopuseid_2-s2.0-85035111837-
dc.identifier.hkuros283121-
dc.identifier.volume33-
dc.identifier.issue4-
dc.identifier.spage945-
dc.identifier.epage958-
dc.identifier.isiWOS:000418383600009-
dc.publisher.placeGermany-
dc.identifier.issnl0168-9673-

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