3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.OC2022
On a Merton Problem with Irreversible Healthcare Investment
Giorgio Ferrari, Shihao Zhu
We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and irreversible healthcare investment. Our model is based on Merton'…
math.OC2019★ 3 cited
Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information
Shihao Zhu, Jingtao Shi
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in r…