In this paper we study an optimal insurance problem within the mean–variance framework for the case when the insured and insurer hold heterogeneous beliefs about the loss distribution. The implicit ...

The mean-variance optimization suggested by Henry Markowitz represents a path-breaking work, the beginning of the so-called Modern Portfolio Theory. This theory has been criticized by some researchers ...

This is a preview. Log in through your library . Abstract This paper proves constructively the existence of optimal policies for maximum one-period mean-to-standard-deviation-ratio, negative ...