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