Mean-variance asset-liability management under constant elasticity of variance process
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Publication:2520428
DOI10.1016/J.INSMATHECO.2016.05.019zbMATH Open1371.91173OpenAlexW2410780574MaRDI QIDQ2520428FDOQ2520428
Authors: Miao Zhang, Ping Chen 
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
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Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited In (31)
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Optimal investment strategy for asset-liability management under the Heston model
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Mean-risk portfolio management with bankruptcy prohibition
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Dynamic asset-liability management with frictions
- A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application
- Mean-variance asset-liability management with inside information
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Dynamic asset-liability management problem in a continuous-time model with delay
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
- Asset and liability management under a continuous-time mean-variance optimization framework
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- A framework for treating model uncertainty in the asset liability management problem
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
- 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
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
- Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach
- Optimal dynamic mean-variance asset-liability management under the Heston model
- Minimum probability function of crossing the upper regulatory threshold for asset-liability management
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
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