Pages that link to "Item:Q2253397"
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The following pages link to Mean-variance asset-liability management: cointegrated assets and insurance liability (Q2253397):
Displaying 44 items.
- Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987) (← links)
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (Q492113) (← links)
- Mean-variance portfolio selection of cointegrated assets (Q550847) (← links)
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
- Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints (Q1681102) (← links)
- Non-zero-sum stochastic differential reinsurance and investment games with default risk (Q1681455) (← links)
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility (Q1697216) (← links)
- Optimal dynamic mean-variance asset-liability management under the Heston model (Q1712605) (← links)
- Optimal investment for insurers with the extended CIR interest rate model (Q1722131) (← links)
- Dynamic portfolio choice with return predictability and transaction costs (Q1999643) (← links)
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market (Q2064422) (← links)
- Robust optimal asset-liability management with penalization on ambiguity (Q2165793) (← links)
- Mean-variance asset-liability management problem under non-Markovian regime-switching models (Q2187333) (← links)
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon (Q2238961) (← links)
- Pairs trading with illiquidity and position limits (Q2244254) (← links)
- Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling (Q2332719) (← links)
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process (Q2347064) (← links)
- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration (Q2374128) (← links)
- Mean-variance principle of managing cointegrated risky assets and random liabilities (Q2376744) (← links)
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty (Q2398561) (← links)
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market (Q2398579) (← links)
- Robust dynamic pairs trading with cointegration (Q2417107) (← links)
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration (Q2513456) (← links)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
- Optimal multi-period mean-variance policy under no-shorting constraint (Q2514718) (← links)
- A multistage linear stochastic programming model for optimal corporate debt management (Q2514832) (← links)
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading (Q2691368) (← links)
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model (Q2698613) (← links)
- Dynamic asset–liability management in a Markov market with stochastic cash flows (Q4554228) (← links)
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option (Q4959771) (← links)
- Mean-variance asset–liability management with partial information and uncertain time horizon (Q5009160) (← links)
- Optimal investment problem for an open-end fund with dynamic flows (Q5012668) (← links)
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements (Q5092672) (← links)
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS (Q5150287) (← links)
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility (Q5234345) (← links)
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion (Q5379208) (← links)
- Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions (Q5382571) (← links)
- Cointegration and Long-Run Asset Allocation (Q5392694) (← links)
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security (Q5964415) (← links)
- Dynamic asset-liability management with frictions (Q6171945) (← links)
- Mean-variance asset-liability management with inside information (Q6587726) (← links)
- Asset and liability risk management in financial markets (Q6601657) (← links)
