Work

Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts

Year: 2020

Type: article

Source: SIAM Journal on Control and Optimization

DOI: 10.1137/18m1217322

Authors: Thai Nguyen, Mitja Stadje

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3099824181

FWCI: 3.64

Cites: 40

Cited by: 27

Related to: 10