Robust optimal asset-liability management with mispricing and stochastic factor market dynamics (Q6152696)
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scientific article; zbMATH DE number 7804011
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| English | Robust optimal asset-liability management with mispricing and stochastic factor market dynamics |
scientific article; zbMATH DE number 7804011 |
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Robust optimal asset-liability management with mispricing and stochastic factor market dynamics (English)
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13 February 2024
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asset-liability management
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model ambiguity
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mispricing
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stochastic factor
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backward stochastic differential equation
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0.8329925537109375
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0.8184692859649658
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0.815520167350769
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0.8077824711799622
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