OPTIMAL MULTI-ASSET INVESTMENT WITH NO-SHORTING CONSTRAINT UNDER MEAN-VARIANCE CRITERION FOR AN INSURER  

作　　者：Junna BI Junyi GUO Lihua BAI 

机构地区：[1]School of Mathematical Sciences, Nankai University, Tianjin 300071, China.

出　　处：《Journal of Systems Science & Complexity》2011年第2期291-307,共17页系统科学与复杂性学报（英文版）

基　　金：This research is supported by the National Natural Science Foundation of China under Grant No. 10871102 and Speaialized Research Fund for the Doctoral Program of Higher Education under Grant No. 20090031110001.

摘　　要：This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. This paper obtains the optimal investment policy using the stochastic linear quadratic （LQ） control theory with no-shorting constraint. Then the efficient strategy （optimal investment strategy） and efficient frontier are derived explicitly by a verification theorem with the viscosity solution of Hamilton-Jacobi-Bellman （HJB） equation.

关 键 词：HJB equation mean-variance portfolio selection optimal investment verification theorem viscosity solution. 

分 类 号：O156.4[理学—数学] F832.48[理学—基础数学]