Optimal dynamic mean-variance asset-liability management under the Heston model (Q1712605)
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scientific article; zbMATH DE number 7004994
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| English | Optimal dynamic mean-variance asset-liability management under the Heston model |
scientific article; zbMATH DE number 7004994 |
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Optimal dynamic mean-variance asset-liability management under the Heston model (English)
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22 January 2019
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continuous-time mean-variance
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asset-liability management
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Heston model
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efficient investment strategy
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efficient frontier
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0.9119039177894592
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0.8399659395217896
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0.8166846632957458
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0.8130409717559814
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