Time-consistent mean-variance asset-liability management with random coefficients

DOI10.1016/j.insmatheco.2017.08.011zbMath1397.91564OpenAlexW2752153790MaRDI QIDQ1681089

Jiaqin Wei, Tian Xiao Wang

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.011

zbMATH Keywords

asset-liability managementstochastic interest ratemean-varianceequilibrium strategytime-inconsistent control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

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