Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
type: Item
instance of: scholarly article
title: Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
zbMATH Open document ID: 1141.91474
author: Shuxiang Xie
author: Zhongfei Li
author: Shouyang Wang
published in: Insurance Mathematics \& Economics
publication date: 2008-06-25T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 5292532
zbMATH Keywords: portfolio selection
zbMATH Keywords: asset-liability management
zbMATH Keywords: continuous-time
zbMATH Keywords: mean-variance model
zbMATH Keywords: stochastic linear-quadratic control
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2007.10.014
OpenAlex ID: W1992136278
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DOI: 10.1016/J.INSMATHECO.2007.10.014
description: scientific article; zbMATH DE number 5292532