scientific article; zbMATH DE number 6874859

MaRDI QIDQ4641032zbMATH OpenFDO

Authors Juan Ma, Shunhou Fan, Hao Chang

Publication date 25 May 2018

zbMATH Keywords

dynamic portfolio selectionHARA utility functionHeston's stochastic volatilityLegendre transformationliability process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39) Portfolio theory (91G10)

Recommendations

• Optimal investment strategy for asset-liability management under the Heston model
• Optimal dynamic mean-variance asset-liability management under the Heston model
• Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
• Practical investment strategies under a multi-scale Heston's stochastic volatility model
• Asset liability management with stochastic interest rates and inflation risks based on mean-variance criteria
• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Asset and liability management under a continuous-time mean-variance optimization framework
• Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

Cited in

(10)

• Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
• Optimal dynamic mean-variance asset-liability management under the Heston model
• Portfolio selection with liability and affine interest rate in the HARA utility framework
• Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
• Practical investment strategies under a multi-scale Heston's stochastic volatility model
• Optimal control for utility portfolio selection with liability
• Optimal investment strategy for asset-liability management under the Heston model
• An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4641032)