Optimal investment strategy for asset-liability management under the Heston model
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Publication:5382938
DOI10.1080/02331934.2018.1561691zbMath1422.91667OpenAlexW2910147398WikidataQ128628428 ScholiaQ128628428MaRDI QIDQ5382938
Shengzhou Hu, Jian Pan, Xiangying Zhou
Publication date: 19 June 2019
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2018.1561691
Hamilton-Jacobi-Bellman equationasset-liability managementHeston modelexponential utility functionoptimal investment strategy
Related Items (8)
Robust optimal investment problem with delay under Heston's model ⋮ Robust optimal asset-liability management with penalization on ambiguity ⋮ Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach ⋮ Robust optimal asset-liability management with mispricing and stochastic factor market dynamics ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Dynamic asset-liability management problem in a continuous-time model with delay
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