Jump-diffusion asset-liability management via risk-sensitive control

DOI10.1007/S00291-014-0371-XMaRDI QIDQ2516637zbMATHOpenAlexFDO

Authors Mark H. A. Davis, Sébastien Lleo

Publication date 3 August 2015

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00291-014-0371-x

zbMATH Keywords

viscosity solutionsclassical solutionsrisk-sensitive controljump-diffusion processesasset-liability managementrisk-sensitive asset managementfund separation theorems

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• scientific article; zbMATH DE number 6296770
• Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model
• Jump-diffusion risk-sensitive asset management I: Diffusion factor model
• A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

Cites work

• scientific article; zbMATH DE number 2134185 (Why is no real title available?)
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 6296770 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• Applied stochastic control of jump diffusions.
• Controlled Markov processes and viscosity solutions
• Intertemporal surplus management
• Intertemporal surplus management with jump risks
• Jump-diffusion risk-sensitive asset management I: Diffusion factor model
• Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model
• Risk-sensitive dynamic asset management
• Risk-sensitive portfolio optimization on infinite time horizon
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• User’s guide to viscosity solutions of second order partial differential equations
• Weak dynamic programming principle for viscosity solutions

Cited in

(3)

• Financial optimization: optimization paradigms and financial planning under uncertainty
• An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
• scientific article; zbMATH DE number 6296770 (Why is no real title available?)

This page was built for publication: Jump-diffusion asset-liability management via risk-sensitive control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2516637)