Continuous-time mean-variance asset-liability management with endogenous liabilities

DOI10.1016/J.INSMATHECO.2012.10.001MaRDI QIDQ2252274zbMATH OpenOpenAlexFDO

Authors Haixiang Yao, Yongzeng Lai, Yong Li

Publication date 16 July 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.10.001

zbMATH Keywords

asset-liability managementefficient frontierendogenous liabilitiesHamilton-Jacobi-Bellman equationmean-variance

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(28)

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• Time-consistent mean-variance asset-liability management with random coefficients
• Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
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• Continuous-time mean-variance asset-liability management with hidden Markovian regime switching
• Portfolio selection with liability and affine interest rate in the HARA utility framework
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
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• Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
• Time inconsistent asset-liability management with partial information
• Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
• Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• Mean-variance asset-liability management under constant elasticity of variance process
• Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach
• Stochastic control for multiperiod mean-variance asset-liability management
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
• Dynamic asset-liability management in a Markov market with stochastic cash flows
• Multiperiod mean-variance efficient portfolios with endogenous liabilities
• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
• Dynamic asset-liability management problem in a continuous-time model with delay
• Dynamic asset-liability management with frictions
• Mean-variance asset-liability management with inside information
• Asset and liability management under a continuous-time mean-variance optimization framework

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