Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
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Publication:1697216
DOI10.1016/j.insmatheco.2017.11.006zbMath1398.91339OpenAlexW2771925028MaRDI QIDQ1697216
Yan Zeng, Danping Li, Yang Shen
Publication date: 15 February 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.006
stochastic volatilityasset-liability managementbackward stochastic differential equationmean-variance criterionderivative investment
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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