Stochastic control for multiperiod mean-variance asset-liability management

DOI10.7641/CTA.2015.50268zbMath1349.91259OpenAlexW2801654928MaRDI QIDQ2992528

Wei-Ping Wu, Li, Duan, Jian-Jun Gao

Publication date: 10 August 2016

Full work available at URL: https://scholars.cityu.edu.hk/en/publications/stochastic-control-for-multiperiod-meanvariance-assetliability-management(31017b3a-1f52-49d2-aa9a-511565de7eff).html

zbMATH Keywords

asset-liability managementstochastic control systemsmultiperiod portfolio optimizationmean-field formulationfinance applications

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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