Mean-Variance Asset Liability Management with State-Dependent Risk Aversion (Q5379208)
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scientific article; zbMATH DE number 7059857
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-Variance Asset Liability Management with State-Dependent Risk Aversion |
scientific article; zbMATH DE number 7059857 |
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Mean-Variance Asset Liability Management with State-Dependent Risk Aversion (English)
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28 May 2019
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asset liability management
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risk aversion
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mean-variance criterion
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Hamilton-Jacobi-Bellman system
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