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q-fin.PM2011
Optimal Constrained Investment in the Cramer-Lundberg model
Tatiana Belkina, Christian Hipp, Shangzhen Luo +1
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset…
q-fin.PM2009
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
Wael Bahsoun, Igor V. Evstigneev, Michael I. Taksar
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural general…