Robust optimal asset-liability management with penalization on ambiguity
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Publication:2165793
DOI10.3934/jimo.2021121MaRDI QIDQ2165793
Publication date: 23 August 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021121
asset-liability management; ambiguity aversion; robust optimal control; utility maximization criterion; tracking the benchmark
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Cites Work
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