Junna Bi, Zhibin Liang, Kam Chuen Yuen. Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. Math. Meth. of OR, 90(1):109-135, 2019. [doi]
@article{BiLY19,
title = {Optimal mean-variance investment/reinsurance with common shock in a regime-switching market},
author = {Junna Bi and Zhibin Liang and Kam Chuen Yuen},
year = {2019},
doi = {10.1007/s00186-018-00657-3},
url = {https://doi.org/10.1007/s00186-018-00657-3},
researchr = {https://researchr.org/publication/BiLY19},
cites = {0},
citedby = {0},
journal = {Math. Meth. of OR},
volume = {90},
number = {1},
pages = {109-135},
}