Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
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Publication:2691482
DOI10.3934/jimo.2022194OpenAlexW4313003840MaRDI QIDQ2691482
Publication date: 29 March 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022194
asset-liability managementbackward stochastic differential equationHARA utilitydrifted Brownian motionaffine diffusion factor process
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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