Robust optimal asset-liability management with penalization on ambiguity (Q2165793): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.3934/jimo.2021121
+Normal rank
@@ Property / OpenAlex ID @@
+W3179938288
@@ Property / OpenAlex ID: W3179938288 / rank @@
+Normal rank
@@ Property / cites work @@
+Asset and liability management under a continuous-time mean-variance optimization framework
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management: cointegrated assets and insurance liability
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance problem for a general insurance company under Heston model
+Normal rank
@@ Property / cites work @@
+Optimal investment decisions with a liability: the case of defined benefit pension plans
+Normal rank
@@ Property / cites work @@
+Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Optimal portfolio on tracking the expected wealth process with liquidity constraints
+Normal rank
@@ Property / cites work @@
+Maximizing a robust goal-reaching probability with penalization on ambiguity
+Normal rank
@@ Property / cites work @@
+Risk minimizing portfolios and HJBI equations for stochastic differential games
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy for asset-liability management under the Heston model
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
+Normal rank
@@ Property / cites work @@
+Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
+Normal rank
@@ Property / cites work @@
+Robust investment-reinsurance optimization with multiscale stochastic volatility
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
+Normal rank
@@ Property / cites work @@
+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
+Normal rank
@@ Property / cites work @@
+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
+Normal rank