Optimal dynamic mean-variance asset-liability management under the Heston model
type: Item
instance of: scholarly article
title: Optimal dynamic mean-variance asset-liability management under the Heston model
zbMATH Open document ID: 1446.91077
author: Jian Pan
author: Zujin Zhang
author: Xiangying Zhou
published in: Advances in Difference Equations
publication date: 2019-01-22T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7004994
zbMATH Keywords: continuous-time mean-variance
zbMATH Keywords: asset-liability management
zbMATH Keywords: Heston model
zbMATH Keywords: efficient investment strategy
zbMATH Keywords: efficient frontier
MaRDI profile type: Publication
full work available at URL: s13662-018-1677-9
OpenAlex ID: W2884541524
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Wikidata QID: Q129457249
DOI: 10.1186/S13662-018-1677-9
description: scientific article; zbMATH DE number 7004994