A framework for treating model uncertainty in the asset liability management problem

DOI10.3934/jimo.2023021zbMath1524.62515OpenAlexW4322747605MaRDI QIDQ6102863

Georgios I. Papayiannis

Publication date: 23 June 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2023021

zbMATH Keywords

model uncertaintyasset liability managementWasserstein barycentermultiple priorsrobust decision making

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (1)

Optimal investment in a general stochastic factor framework under model uncertainty

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