Browsing Faculty of Design and Creative Technologies (Te Ara Auaha) by Author "Rong, X"
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Robust portfolio selection problem for an insurer with exponential utility preference
Zhao, H; Rong, X; Cao, J (World Scientific and Engineering Academy and Society, 2011)In this paper, we consider the robust portfolio selection problem for an insurer in the sense of maximizing the exponential utility of his wealth. This special robust investment problem, where underwriting results and a ...