Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
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Publication:5092672
DOI10.1080/03610926.2020.1812656OpenAlexW3082931619MaRDI QIDQ5092672
Publication date: 22 July 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1812656
asset-liability managementequilibrium strategytime-inconsistencymargin requirementsshort-selling prohibition
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