Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
type: Item
instance of: scholarly article
title: Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
zbMATH Open document ID: 1398.91339
author: Danping Li
author: Yang Shen
author: Yan Zeng
published in: Insurance Mathematics \& Economics
publication date: 2018-02-15T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6839369
zbMATH Keywords: asset-liability management
zbMATH Keywords: derivative investment
zbMATH Keywords: mean-variance criterion
zbMATH Keywords: stochastic volatility
zbMATH Keywords: backward stochastic differential equation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2017.11.006
OpenAlex ID: W2771925028
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DOI: 10.1016/J.INSMATHECO.2017.11.006
description: scientific article; zbMATH DE number 6839369