Table 1 Optimal investment strategies and expected results with different dependence parameters
From: Optimal investment of a time-dependent renewal risk model with stochastic return
ρ | \(\boldsymbol {\tilde{\theta}^{*}}\) | VaR | \(\boldsymbol {E [U_{\theta}(t) ]}\) |
|---|---|---|---|
−0.75 | 0.1805 | 64.0000 | 70.0677 |
−0.50 | 0.2995 | 64.0000 | 71.9864 |
−0.25 | 0.3534 | 64.0000 | 72.9035 |
0.00 | 0.3944 | 64.0000 | 73.6225 |
0.25 | 0.4286 | 64.0000 | 74.2372 |
0.50 | 0.4583 | 64.0000 | 74.7826 |
0.75 | 0.4849 | 64.0000 | 75.2806 |
0.85 | 0.4915 | 63.9526 | 75.4135 |
0.99 | 0.4915 | 63.7571 | 75.4460 |