Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
From MaRDI portal
(Redirected from Publication:508009)
Recommendations
- Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Optimal investment strategy for asset-liability management under the Heston model
- Optimal asset allocation under search frictions and stochastic interest rate
- Portfolio selection with liability and affine interest rate in the HARA utility framework
Cites work
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- Asset and liability management under a continuous-time mean-variance optimization framework
- Bank asset and liability management under uncertainty
- Continuous-time stochastic control and optimization with financial applications
- Numerical methods for portfolio selection with bounded constraints
- On reinsurance and investment for large insurance portfolios
- Optimal capital allocation in a hierarchical corporate structure
- Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Portfolio optimization. With CD-ROM.
- Portfolio selection with liability and affine interest rate in the HARA utility framework
- Stochastic calculus for finance. II: Continuous-time models.
- Strategic asset allocation with liabilities: beyond stocks and bonds
- The optimal asset and liability portfolio for a financial institution with multiple lines of businesses
Cited in
(22)- Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Portfolio selection with liability and affine interest rate in the HARA utility framework
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Robust optimal asset-liability management with penalization on ambiguity
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
- On the surplus management of funds with assets and liabilities in presence of solvency requirements
- Asset-liability management with state-dependent utility in the regime-switching market
- Dynamic asset-liability management with frictions
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
- Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank
- Asset and liability risk management in financial markets
- The investment and reinsurance game on asset-liability management with common shock dependence under CEV model
- Optimizing insurance investments: the role of liquidity risk in asset-liability management
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
This page was built for publication: Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q508009)
