Mean-variance asset-liability management under constant elasticity of variance process
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Publication:2520428
DOI10.1016/j.insmatheco.2016.05.019zbMath1371.91173OpenAlexW2410780574MaRDI QIDQ2520428
Publication date: 13 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.019
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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