Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market (Q646757)
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scientific article; zbMATH DE number 5973942
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| English | Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market |
scientific article; zbMATH DE number 5973942 |
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Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market (English)
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17 November 2011
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asset-liability management
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benchmark and mean-variance models
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duality theory
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jump diffusion market
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Hamilton-Jacobi-Bellman equation
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0.842531144618988
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0.8377962708473206
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0.8253412246704102
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0.8015404343605042
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0.8013001680374146
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