Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework

DOI10.1016/j.cam.2016.11.037zbMath1382.91087OpenAlexW2565732191MaRDI QIDQ508009

Qingxian Xiao, Jian Pan

Publication date: 9 February 2017

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.2016.11.037

zbMATH Keywords

asset-liability managementstochastic interest rateverification theoremliquidity constraintoptimal investment strategyutility maximization criterion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (12)

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ Robust optimal asset-liability management with penalization on ambiguity ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Dynamic asset-liability management with frictions ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

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