Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
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Publication:2186907
DOI10.1016/J.CAM.2020.112951zbMath1443.91271OpenAlexW3023170984MaRDI QIDQ2186907
Shuanming Li, Ping Chen, Jiannan Zhang, Zhuo Jin
Publication date: 10 June 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.112951
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
Related Items (4)
Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Robust optimal asset-liability management with mispricing and stochastic factor market dynamics ⋮ Dynamic asset-liability management with frictions
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