Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
From MaRDI portal
Publication:6164849
DOI10.1007/s11009-023-10007-4zbMath1520.91380OpenAlexW4320040111MaRDI QIDQ6164849
Publication date: 4 July 2023
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-023-10007-4
asset-liability managementambiguity aversionmean-variance criterionHamilton-Jacobi-Bellman-Isaacs equation4/2 stochastic volatility model
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items
Cites Work
- Unnamed Item
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Portfolio management with stochastic interest rates and inflation ambiguity
- Optimal mean-variance portfolio selection
- On time-inconsistent stochastic control in continuous time
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Asset and liability management under a continuous-time mean-variance optimization framework
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Time-consistent mean-variance asset-liability management with random coefficients
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Optimal dynamic mean-variance asset-liability management under the Heston model
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Robust time-inconsistent stochastic control problems
- Maximal inequalities for CIR processes
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Mean-variance asset-liability management under constant elasticity of variance process
- Brownian Motion, Martingales, and Stochastic Calculus
- Risk, Ambiguity, and the Savage Axioms
- A stochastic volatility model and optimal portfolio selection
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
- A decomposition of Bessel Bridges
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Stochastic Calculus and Applications
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Robust portfolio choice under the 4/2 stochastic volatility model
