Mean-variance asset-liability management: cointegrated assets and insurance liability

DOI10.1016/j.ejor.2012.07.009zbMath1292.91158OpenAlexW2061037338WikidataQ58980959 ScholiaQ58980959MaRDI QIDQ2253397

Mei Choi Chiu, Hoi Ying Wong

Publication date: 27 July 2014

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.07.009

zbMATH Keywords

cointegrationasset-liability managementmean-variance portfolio theory

Mathematics Subject Classification ID

Related Items (39)

Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration ⋮ Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ 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 ⋮ 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 optimal asset-liability management with penalization on ambiguity ⋮ Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements ⋮ 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 ⋮ Robust dynamic pairs trading with cointegration ⋮ Mean-variance asset-liability management problem under non-Markovian regime-switching models ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Dynamic asset-liability management with frictions ⋮ 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 ⋮ Optimal dynamic mean-variance asset-liability management under the Heston model ⋮ Mean-Variance Asset Liability Management with State-Dependent Risk Aversion ⋮ Optimal investment for insurers with the extended CIR interest rate model ⋮ Dynamic cointegrated pairs trading: mean-variance time-consistent strategies ⋮ MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS ⋮ 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 ⋮ Dynamic portfolio choice with return predictability and transaction costs ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security ⋮ 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 with affine diffusion factor process and a reinsurance option ⋮ The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market ⋮ Optimal investment and consumption under a continuous-time cointegration model with exponential utility ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon ⋮ Optimal investment problem for an open-end fund with dynamic flows ⋮ Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

Cites Work

• Unnamed Item
• Mean-variance portfolio selection of cointegrated assets
• Continuous time mean variance asset allocation: a time-consistent strategy
• Asset-liability management under the safety-first principle
• Asset and liability management under a continuous-time mean-variance optimization framework
• Option valuation with co-integrated asset prices
• Matrix Riccati equations in control and systems theory
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Mean-Variance Hedging When There Are Jumps
• Optimal hedging using cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Generalized Poisson Models and their Applications in Insurance and Finance
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• Optimal investment for insurers

This page was built for publication: Mean-variance asset-liability management: cointegrated assets and insurance liability