Continuous-time mean-variance asset-liability management with endogenous liabilities
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Publication:2252274
DOI10.1016/j.insmatheco.2012.10.001zbMath1291.91199OpenAlexW1980224247MaRDI QIDQ2252274
Yong Li, Haixiang Yao, Yongzeng Lai
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
Hamilton-Jacobi-Bellman equationasset-liability managementefficient frontiermean-varianceendogenous liabilities
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