Time inconsistent asset-liability management with partial information
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Publication:2189144
Recommendations
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- scientific article; zbMATH DE number 1583970
- Time-consistent investment strategy under partial information
- Time-consistent mean-variance asset-liability management with random coefficients
- Time-consistent investment strategy selection under asset and liability management
- The optimal log-utility asset management under incomplete information
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Asset and liability management under a continuous-time mean-variance optimization framework
Cites work
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- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Mean-variance portfolio optimization with state-dependent risk aversion
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- On time-inconsistent stochastic control in continuous time
- Optimal premium policy of an insurance firm: full and partial information
- Partially observed time-inconsistency recursive optimization problem and application
- Ruin problems with assets and liabilities of diffusion type
- Time-consistent mean-variance asset-liability management with random coefficients
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Time-inconsistent recursive stochastic optimal control problems
- Time-inconsistent stochastic linear-quadratic control
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
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