Mean-Variance Asset Liability Management with State-Dependent Risk Aversion

DOI10.1080/10920277.2016.1247719zbMath1414.91247OpenAlexW2594413444MaRDI QIDQ5379208

Benchawan Wiwatanapataphee, Yan Zhang, Shuang Li, Yong-Hong Wu

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2016.1247719

zbMATH Keywords

risk aversionasset liability managementmean-variance criterionHamilton-Jacobi-Bellman system

Mathematics Subject Classification ID

Related Items (9)

Portfolio optimization with asset-liability ratio regulation constraints ⋮ Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon ⋮ Dynamic asset-liability management problem in a continuous-time model with delay

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