Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading (Q2691368): Difference between revisions

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English	Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading	scientific article

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instance of

scholarly article

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title

Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading (English)

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author

Yumo Zhang

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published in

Journal of Industrial and Management Optimization

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publication date

29 March 2023

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zbMATH Keywords

asset-liability management

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CIR interest rate

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4/2 stochastic volatility

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derivative trading

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backward stochastic differential equation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/jimo.2022121

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cites work

On time-inconsistent stochastic control in continuous time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

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MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION

0 references

Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model

0 references

Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model

0 references

Q5493540

0 references

Asset and liability management under a continuous-time mean-variance optimization framework

0 references

Mean-variance asset-liability management: cointegrated assets and insurance liability

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Mean-variance asset-liability management with asset correlation risk and insurance liabilities

0 references

Mean-variance principle of managing cointegrated risky assets and random liabilities

0 references

Dynamic asset-liability management problem in a continuous-time model with delay

0 references

A Theory of the Term Structure of Interest Rates

0 references

A General Valuation Framework for SABR and Stochastic Local Volatility Models

0 references

Optimal investment strategies in the presence of a minimum guarantee.

0 references

Probability

0 references

Backward Stochastic Differential Equations in Finance

0 references

Dynamic derivative strategies with stochastic interest rates and model uncertainty

0 references

Generalized Riccati difference and differential equations

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THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

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Mean-variance portfolio selection under Volterra Heston model

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

A geometric approach to multiperiod mean variance optimization of assets and liabilities

0 references

Q4942767

0 references

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

0 references

Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

0 references

Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

0 references

Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model

0 references

Q5566063

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Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework

0 references

Optimal dynamic asset-liability management with stochastic interest rates and inflation risks

0 references

Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks

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Optimal dynamic mean-variance asset-liability management under the Heston model

0 references

Mean-variance asset–liability management with partial information and uncertain time horizon

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Mean-variance asset-liability management problem under non-Markovian regime-switching models

0 references

Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

0 references

Mean-variance portfolio selection under a constant elasticity of variance model

0 references

Stock Price Distributions with Stochastic Volatility: An Analytic Approach

0 references

Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option

0 references

An equilibrium characterization of the term structure

0 references

\(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition

0 references

Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach

0 references

Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility

0 references

Mean-variance asset-liability management under constant elasticity of variance process

0 references

Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

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Identifiers

DOI

10.3934/jimo.2022121

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2691368

@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
+Normal rank
@@ Property / cites work @@
+Q5493540
@@ Property / cites work: Q5493540 / 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 @@
+Mean-variance asset-liability management with asset correlation risk and insurance liabilities
+Normal rank
@@ Property / cites work @@
+Mean-variance principle of managing cointegrated risky assets and random liabilities
+Normal rank
@@ Property / cites work @@
+Dynamic asset-liability management problem in a continuous-time model with delay
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+A General Valuation Framework for SABR and Stochastic Local Volatility Models
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies in the presence of a minimum guarantee.
+Normal rank
@@ Property / cites work @@
+Probability
@@ Property / cites work: Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Dynamic derivative strategies with stochastic interest rates and model uncertainty
+Normal rank
@@ Property / cites work @@
+Generalized Riccati difference and differential equations
+Normal rank
@@ Property / cites work @@
+THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection under Volterra Heston model
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
+Normal rank
@@ Property / cites work @@
+Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
+Normal rank
@@ Property / cites work @@
+Q5566063
@@ Property / cites work: Q5566063 / rank @@
+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 @@
+Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
+Normal rank
@@ Property / cites work @@
+Optimal dynamic mean-variance asset-liability management under the Heston model
+Normal rank
@@ Property / cites work @@
+Mean-variance asset–liability management with partial information and uncertain time horizon
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management problem under non-Markovian regime-switching models
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection under a constant elasticity of variance model
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+\(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition
+Normal rank
@@ Property / cites work @@
+Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
+Normal rank
@@ Property / cites work @@
+Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management under constant elasticity of variance process
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
+Normal rank