Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility (Q1697216)
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scientific article; zbMATH DE number 6839369
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| English | Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility |
scientific article; zbMATH DE number 6839369 |
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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility (English)
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15 February 2018
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asset-liability management
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derivative investment
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mean-variance criterion
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stochastic volatility
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backward stochastic differential equation
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0.8061090111732483
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0.7938374280929565
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0.7932068109512329
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