Abstract
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 short-selling prohibition, the authors consider the optimal investment from an insurer’s point of view by maximizing the adjustment coefficient 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.
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This research is supported by National Basic Research Program of China (973 Program) under Grant No. 2007CB814905 and the Natural Science Foundation of China under Grant No. 11171164.
This paper was recommended for publication by Editor Shouyang WANG.
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Wang, S., Zhang, C. Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment. J Syst Sci Complex 25, 691–706 (2012). https://doi.org/10.1007/s11424-012-9198-1
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DOI: https://doi.org/10.1007/s11424-012-9198-1