Optimal dynamic mean-variance asset-liability management under the Heston model
From MaRDI portal
Publication:1712605
DOI10.1186/s13662-018-1677-9zbMath1446.91077OpenAlexW2884541524WikidataQ129457249 ScholiaQ129457249MaRDI QIDQ1712605
Jian Pan, Zujin Zhang, Xiangying Zhou
Publication date: 22 January 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-018-1677-9
asset-liability managementefficient frontierHeston modelcontinuous-time mean-varianceefficient investment strategy
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items
Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Optimal investment strategy for asset-liability management under the Heston model
Cites Work
- Asset and liability management under a continuous-time mean-variance optimization framework
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Continuous-time mean-variance asset-liability management with endogenous liabilities
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Mean-variance principle of managing cointegrated risky assets and random liabilities
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Mean-variance asset-liability management under constant elasticity of variance process
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Convex Programming and Duality in Normed Space
