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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