Dynamic asset-liability management problem in a continuous-time model with delay
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Publication:5863710
DOI10.1080/00207179.2020.1849807zbMath1492.91352OpenAlexW3100508412MaRDI QIDQ5863710
Yan Zeng, Yang Shen, A. Chunxiang
Publication date: 3 June 2022
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2020.1849807
Hamilton-Jacobi-Bellman equationasset-liability managementtime inconsistencymean-variance criterionstochastic differential delay equation
Related Items (4)
Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Robust optimal asset-liability management with mispricing and stochastic factor market dynamics ⋮ 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
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