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A, C., Lai, Y. and Shao, Y. (2018) Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Jump-Diffusion Risk Process under the CEV Model. Journal of Computational and Applied Mathematics, 342, 317-336.
https://doi.org/10.1016/j.cam.2018.03.035

has been cited by the following article:

• TITLE: Optimal Portfolio Selection with Delay under the Framework of Uncertainty Theory

  AUTHORS: Jun Long, Sanyun Zeng

  KEYWORDS: Delay, Uncertainty Theory, Equation of Optimality, Optimal Value Function, Optimal Investment Strategy

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.11 No.10, October 20, 2023

  ABSTRACT: This study focuses on investigating the optimal investment strategy for an optimization problem with delay using the uncertainty theory. The financial market is composed of a risk-free asset and a risk asset with an uncertain price process described by an uncertain differential equation. An optimization problem is assumed that its objective is a nonlinear function of decision variable. By deriving the equation of optimality, an analytical solution is obtained for the optimal delay investment strategy, and the optimal delay value function. Finally, an economic analysis and numerical sensitivity analysis are conducted to evaluate the research results.