Time consistent strategies for mean-variance asset-liability management problems
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Publication:474010
zbMATH Open1299.91180MaRDI QIDQ474010FDOQ474010
Meng Wu, Nan-Jing Huang, Hui-qiang Ma
Publication date: 24 November 2014
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
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Cited In (11)
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
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- 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 policy of multi-period mean-variance
- Time inconsistent asset-liability management with partial information
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