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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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

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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Identifiers

Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:2691368

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