Some Solvable Portfolio Problems with Quadratic and Collective Objectives

By Esben Kryger, Mogens Steffensen. 2010

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0955fdbfd3348d39b5877faac6300962b29f8acc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yongwu Li
2. Yiping Qian
3. Xiang Lin
4. Zhongfei Li
5. Yan Zeng
6. Jun Cai
7. Junna Bi

In Finance

1. Yongwu Li
2. Yiping Qian
3. Xiang Lin
4. Zhongfei Li
5. Jun Cai
6. Junna Bi
7. Yan Zeng

In Management Science and Operations Research

1. Yongwu Li
2. Xiang Lin
3. Yiping Qian
4. Zhongfei Li
5. Yan Zeng

Citations in the corpus

• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Recently, there has been renewed interest in time-consistent mean-variance portfolio selection problem, see, for example, Björk & Murgoci (2009), Basak & Chabakauri (2010), Kryger & Steffensen (2010), Wang & Forsyth (2011), Czichowsky (2013), Björk et al. (2014), Kronborg & Steffensen (2015).”
• Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013, background): “Further work is provided in Pollak (1968), Goldman (1980), Harris and Laibson (2001), Krusell and Smith (2003),Wang and Forsyth (2011) and Kryger and Steffensen (2010).”