Optimal investment strategy for asset-liability management under the Heston model (Q5382938)
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scientific article; zbMATH DE number 7068090
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment strategy for asset-liability management under the Heston model |
scientific article; zbMATH DE number 7068090 |
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Optimal investment strategy for asset-liability management under the Heston model (English)
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19 June 2019
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asset-liability management
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Heston model
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exponential utility function
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Hamilton-Jacobi-Bellman equation
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optimal investment strategy
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