Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
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Publication:1983698
DOI10.3934/jimo.2020026zbMath1476.91141OpenAlexW3008989005MaRDI QIDQ1983698
Haixiang Yao, Zhong-Fei Li, Li-Hua Bian
Publication date: 10 September 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020026
game theoryasset-liability managementstochastic interest ratetime-consistent strategymulti-period mean-variance model
Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Portfolio theory (91G10)
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