Mean-variance asset-liability management: cointegrated assets and insurance liability
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Publication:2253397
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Cites work
- Asset and liability management under a continuous-time mean-variance optimization framework
- Asset-liability management under the safety-first principle
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Continuous time mean variance asset allocation: a time-consistent strategy
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Generalized Poisson Models and their Applications in Insurance and Finance
- scientific article; zbMATH DE number 54139 (Why is no real title available?)
- Matrix Riccati equations in control and systems theory
- Mean-Variance Hedging When There Are Jumps
- Mean-variance portfolio selection of cointegrated assets
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal hedging using cointegration
- Optimal investment for insurers
- Option valuation with co-integrated asset prices
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
Cited in
(49)- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Optimal dynamic mean-variance asset-liability management under the Heston model
- Optimal investment for insurers with the extended CIR interest rate model
- Dynamic portfolio choice with return predictability and transaction costs
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Robust optimal asset-liability management with penalization on ambiguity
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
- Pairs trading with illiquidity and position limits
- Mean-variance portfolio selection with correlation risk
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
- Mean-variance principle of managing cointegrated risky assets and random liabilities
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Robust dynamic pairs trading with cointegration
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Optimal multi-period mean-variance policy under no-shorting constraint
- A multistage linear stochastic programming model for optimal corporate debt management
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- Commodity derivatives pricing with cointegration and stochastic covariances
- 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
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Optimal investment problem for an open-end fund with dynamic flows
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions
- Cointegration and long-run asset allocation
- Mean-variance portfolio selection of cointegrated assets
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
- Dynamic asset-liability management with frictions
- Mean-variance asset-liability management with inside information
- Asset and liability risk management in financial markets
- Optimal time-consistent mean-variance reinsurance investment strategies for insurers under the Heston-Hawkes SV model
- The optimal strategy of the dynamic mean-variance problem for pairs trading with a common stochastic factor
- Worst-case conditional value at risk for asset liability management: a framework for general loss functions
- Optimal deterministic asset-liability management with uncertain time horizon under mean-variance criterion
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