A class of continuous-time portfolio selection with liability under jump-diffusion processes

DOI10.1080/00207170903015172zbMath1179.91237OpenAlexW2081431450MaRDI QIDQ3654564

Wei Yan

Publication date: 6 January 2010

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170903015172

zbMATH Keywords

asset-liability managementportfolio selectionmean-variance criterionVaR constraintdiscontinuous prices

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items

Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks, Optimal dynamic asset-liability management with stochastic interest rates and inflation risks, Continuous-time safety-first portfolio selection with jump-diffusion processes, Dynamic asset-liability management problem in a continuous-time model with delay, Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

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