OPTIMAL INVESTMENT WITH MULTIPLE RISKY ASSETS UNDER SHORT-SELLING PROHIBITION IN A PERIODIC ENVIRONMENT  

作　　者：Shanshan WANG Chunsheng ZHANG 

机构地区：[1]Department of Mathematics,Tianjin Polytechnic University [2]School of Mathematical Sciences and LPMC,Nankai University

出　　处：《Journal of Systems Science & Complexity》2012年第4期691-706,共16页系统科学与复杂性学报（英文版）

基　　金：supported by National Basic Research Program of China(973 Program) under Grant No. 2007CB814905;the Natural Science Foundation of China under Grant No.11171164

摘　　要：In this paper, the surplus process is assumed to be a periodic risk model and the insurer is allowed to invest in multiple risky assets described by the Black-Scholes market model. Under shortselling prohibition, the authors consider the optimal investment from an insurer＇s point of view by maximizing the adjustment coefficent and the expected exponential utility of wealth at one period, respectively. It is shown that the optimal strategies of both of optimization problems are to invest a fixed amount of money in each risky asset.

关 键 词：Adjustment coefficient exponential utility Ito formula optimal strategy periodic environrnent ruin probability. 

分 类 号：F840[经济管理—保险] O211.67[理学—概率论与数理统计]