Pages that link to "Item:Q2267297"

The following pages link to Dynamic asset allocation under VaR constraint with stochastic interest rates (Q2267297):

Displaying 16 items.

• A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987) (← links)
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
• Best estimate calculations of savings contracts by closed formulas: application to the ORSA (Q487620) (← links)
• Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (Q784441) (← links)
• The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method (Q857737) (← links)
• Strategic asset allocation in a continuous-time VAR model (Q953710) (← links)
• Portfolio management with benchmark related incentives under mean reverting processes (Q1621923) (← links)
• Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate (Q1983698) (← links)
• On the risk management of demand deposits: quadratic hedging of interest rate margins (Q2151679) (← links)
• Optimal excess-of-loss reinsurance and investment polices under the CEV model (Q2259036) (← links)
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate (Q2515275) (← links)
• Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints (Q2656996) (← links)
• Optimal collective investment: an analysis of individual welfare (Q2690074) (← links)
• OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS (Q4584699) (← links)
• Optimal asset allocation under search frictions and stochastic interest rate (Q6110871) (← links)