Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
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Cites work
- A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- A stochastic programming model for asset liability management of a Finnish pension company
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Asset and liability management under a continuous-time mean-variance optimization framework
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Generalized Poisson Models and their Applications in Insurance and Finance
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Mean-Variance Hedging When There Are Jumps
- Mean-variance portfolio optimization with state-dependent risk aversion
- Mean-variance portfolio selection of cointegrated assets
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Mean‐Variance Portfolio Selection under Partial Information
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- Multi-period portfolio optimization for asset-liability management with bankrupt control
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal portfolio selection of assets with transaction costs and no short sales
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
Cited in
(19)- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Portfolio optimization with asset-liability ratio regulation constraints
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
- Survey on multi-period mean-variance portfolio selection model
- Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Dynamic asset-liability management problem in a continuous-time model with delay
- Asset-liability management with state-dependent utility in the regime-switching market
- Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Asset-liability management under uncertain economic environment
- The investment and reinsurance game on asset-liability management with common shock dependence under CEV model
- Necessary and sufficient conditions for open-loop equilibrium portfolio for a DC pension plan with piecewise linear state-dependent risk tolerance
- Asset–Liability Management of Life Insurers in the Negative Interest Rate Environment
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