Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
DOI10.1016/J.CAM.2020.112951zbMATH Open1443.91271OpenAlexW3023170984MaRDI QIDQ2186907FDOQ2186907
Authors: Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li 
Publication date: 10 June 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.112951
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Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
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- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
- Time-consistent mean-variance asset-liability management with random coefficients
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
Cited In (7)
- Asset-liability management with state-dependent utility in the regime-switching market
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Dynamic asset-liability management with frictions
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- Optimal open-loop strategies in a debt management problem
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
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