Mean-variance principle of managing cointegrated risky assets and random liabilities
From MaRDI portal
Publication:2376744
DOI10.1016/j.orl.2012.11.013zbMath1267.91041OpenAlexW1963588671MaRDI QIDQ2376744
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
Related Items (19)
Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process ⋮ Robust dynamic pairs trading with cointegration ⋮ Input Demand Under Joint Energy and Output Prices Uncertainties ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading ⋮ Optimal dynamic mean-variance asset-liability management under the Heston model ⋮ Portfolio selection with liability and affine interest rate in the HARA utility framework ⋮ Dynamic cointegrated pairs trading: mean-variance time-consistent strategies ⋮ MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS ⋮ A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications ⋮ Mean-variance portfolio selection with correlation risk ⋮ Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework ⋮ Mean-variance portfolio selection under a constant elasticity of variance model ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ Mean-variance asset-liability management with asset correlation risk and insurance liabilities ⋮ Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option ⋮ Optimal investment and consumption under a continuous-time cointegration model with exponential utility ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon
This page was built for publication: Mean-variance principle of managing cointegrated risky assets and random liabilities
