The level of modeling sophistication in financial services has increased considerably over
the years. Nowadays, the complexity of financial problems and the vast amount of data …

Most mean–variance (MV) models construct a portfolio based on nonstationary stocks. This
study presents a new MV model constructed using stationary portfolios composed of …

This paper studies an optimal investment–reinsurance problem for an insurer with a surplus
process represented by the Cramér–Lundberg model. The insurer is assumed to be a mean …

We consider in this paper the mean–variance formulation in multi-period portfolio selection
under no-shorting constraint. Recognizing the structure of a piecewise quadratic value …

This paper investigates the implications of strategic interaction (ie, competition) between two
CARA insurers on their reinsurance-investment policies. The two insurers are concerned …

This paper considers the derivative-based optimal investment strategies for an asset–liability
management (ALM) problem under the mean–variance criterion in the presence of …

This paper considers an optimal investment and reinsurance problem involving a
defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk …

This paper studies a dynamic asset-liability management problem of a company with market
frictions. Specifically, the asset prices are modeled by a multivariate geometric Brownian …

This paper considers an optimal asset-liability management (ALM) problem for an insurer
under the mean-variance criterion. It is assumed that the value of liabilities is described by a …

While the literature on dynamic portfolio selection with stochastic interest rates only confines
its investigation to the continuous-time setting up to now, this paper studies a multi-period …