Time-consistent mean-variance asset-liability management with random coefficients
From MaRDI portal
Publication:1681089
DOI10.1016/j.insmatheco.2017.08.011zbMath1397.91564MaRDI QIDQ1681089
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.011
asset-liability management; stochastic interest rate; mean-variance; equilibrium strategy; time-inconsistent control problem
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G10: Portfolio theory
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