Mean-variance principle of managing cointegrated risky assets and random liabilities

DOI10.1016/J.ORL.2012.11.013MaRDI QIDQ2376744zbMATH OpenOpenAlexFDO

Authors Mei Choi Chiu, Hoi Ying Wong

Publication date 24 June 2013

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2012.11.013

zbMATH Keywords

cointegrationasset-liability managementmean-variance portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(22)

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• Optimal investment and consumption under a continuous-time cointegration model with exponential utility
• Time-consistent mean-variance asset-liability management with random coefficients
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• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
• Mean-variance asset-liability management with inside information

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