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

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Optimal portfolio selection when stock prices follow an jump-diffusion process
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Option pricing when underlying stock returns are discontinuous