The Optimal Robust Investment Problem in the Foreign Stock Market of an Ambiguity-Averse Insurer
To address the need for robust investment strategies in an increasingly uncertain global market, this study focuses on an ambiguity-averse insurer facing exchange rate uncertainty while investing in a foreign stock market. The insurer’s surplus is modeled via a classical compound Poisson process, an...
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| Hoofdauteurs: | , , |
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| Formaat: | Artigo |
| Taal: | Inglês |
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MDPI AG
2025-12-01
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| Reeks: | Axioms |
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| Online toegang: | https://www.mdpi.com/2075-1680/15/1/30 |
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