Optimal dynamic mean-variance asset-liability management under the Heston model
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Publication:1712605
DOI10.1186/s13662-018-1677-9zbMath1446.91077OpenAlexW2884541524WikidataQ129457249 ScholiaQ129457249MaRDI QIDQ1712605
Jian Pan, Zujin Zhang, Xiangying Zhou
Publication date: 22 January 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-018-1677-9
asset-liability managementefficient frontierHeston modelcontinuous-time mean-varianceefficient investment strategy
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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