most citedConstrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients

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math.OC2024★ 1 cited

Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach

Xiaomin Shi, Zuo Quan Xu

This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced…