Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model

DOI10.1080/15326349.2021.1985520zbMath1493.91111OpenAlexW3206397736MaRDI QIDQ5071661

Xiu-Fang Li, Fuzhe Huang, Xiaowei Chen

Publication date: 22 April 2022

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2021.1985520

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (2)

A framework for treating model uncertainty in the asset liability management problem ⋮ Asset-liability management with state-dependent utility in the regime-switching market

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