A class of continuous-time portfolio selection with liability under jump-diffusion processes

DOI10.1080/00207170903015172MaRDI QIDQ3654564zbMATH OpenOpenAlexFDO

Authors Wei Yan

Publication date 6 January 2010

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207170903015172

zbMATH Keywords

asset-liability managementdiscontinuous pricesmean-variance criterionportfolio selectionVaR constraint

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal portfolio selection when stock prices follow an jump-diffusion process
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing when underlying stock returns are discontinuous
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

Cited in

(16)

• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
• Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
• Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
• Optimal portfolio with stochastic process under safety-first criterion
• Continuous-time optimal portfolio selection with liability
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Optimal portfolio of continuous-time mean-variance model with futures and options
• Dynamic mean-variance portfolio selection with liability and no-shorting constraints
• Mean-variance portfolio selection in contagious markets
• Continuous-time mean-variance portfolio optimization in a jump-diffusion market
• Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
• Continuous-time safety-first portfolio selection with jump-diffusion processes
• Dynamic asset-liability management problem in a continuous-time model with delay
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
• The optimal asset allocation of DB-Paygo pension with liabilities under the uncertainty theory
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach

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