Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion

DOI10.1007/s40305-018-0191-9zbMath1413.91087OpenAlexW2789592307MaRDI QIDQ1655930

Xiangyu Cui, Liu-Meng Peng, Yun Shi

Publication date: 10 August 2018

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-018-0191-9

zbMATH Keywords

asset-liability mean-variance modelstate-dependent risk aversiontime-consistent portfolio policy

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (3)

PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies ⋮ Dynamic asset-liability management problem in a continuous-time model with delay

Cites Work

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