Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach (Q931178): Difference between revisions

@@ Property / author @@
+Zhong-Fei Li
@@ Property / author: Zhong-Fei Li / rank @@
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@@ Property / author @@
+Shou-Yang Wang
@@ Property / author: Shou-Yang Wang / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2007.10.014
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@@ Property / OpenAlex ID @@
+W1992136278
@@ Property / OpenAlex ID: W1992136278 / rank @@
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@@ Property / cites work @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+Asset and liability management under a continuous-time mean-variance optimization framework
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+Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
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+Portfolio selection and asset pricing
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+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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