Optimal investment strategy for asset-liability management under the Heston model (Q5382938): Difference between revisions

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Latest revision as of 09:50, 15 August 2024

scientific article; zbMATH DE number 7068090
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English
Optimal investment strategy for asset-liability management under the Heston model
scientific article; zbMATH DE number 7068090

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    Optimal investment strategy for asset-liability management under the Heston model (English)
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    19 June 2019
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    asset-liability management
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    Heston model
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    exponential utility function
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    Hamilton-Jacobi-Bellman equation
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    optimal investment strategy
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