Time consistent strategies for mean-variance asset-liability management problems
From MaRDI portal
Publication:474010
zbMATH Open1299.91180MaRDI QIDQ474010FDOQ474010
Authors: Hui-qiang Ma, Meng Wu, Nan-Jing Huang 
Publication date: 24 November 2014
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Recommendations
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Time-consistent strategy for general multi-period mean-variance asset-liability management in a Markov market
- Time-consistent investment strategy selection under asset and liability management
- Time-consistent mean-variance asset-liability management with random coefficients
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
Cited In (18)
- Multiperiod portfolio optimization for asset-liability management with quadratic transaction costs
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Multiperiod asset-liability management with serially correlated yields
- Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
- Title not available (Why is that?)
- Time-consistent investment strategy selection under asset and liability management
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- Time-consistent mean-variance asset-liability management with random coefficients
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Asset and liability management under a continuous-time mean-variance optimization framework
- Strategic asset allocation in a continuous-time VAR model
- Stochastic control for multiperiod mean-variance asset-liability management
- Time-consistent strategy for general multi-period mean-variance asset-liability management in a Markov market
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Time consistent policy of multi-period mean-variance
- Time inconsistent asset-liability management with partial information
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
This page was built for publication: Time consistent strategies for mean-variance asset-liability management problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q474010)
