Time inconsistent asset-liability management with partial information (Q2189144): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time inconsistent asset-liability management with partial information |
scientific article |
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Time inconsistent asset-liability management with partial information (English)
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15 June 2020
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time inconsistency
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stochastic linear quadratic optimal control problem
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Kalman-Bucy filtering equation
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Riccati equation
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open-loop equilibrium premium strategy
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