Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models (Q6164849)
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scientific article; zbMATH DE number 7706933
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| English | Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models |
scientific article; zbMATH DE number 7706933 |
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Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models (English)
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4 July 2023
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asset-liability management
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ambiguity aversion
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mean-variance criterion
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Hamilton-Jacobi-Bellman-Isaacs equation
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4/2 stochastic volatility model
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