Dynamic asset-liability management problem in a continuous-time model with delay
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Cites work
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Cited in
(14)- Time inconsistent asset-liability management with partial information
- A continuous-time version of a delegated asset management problem
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
- scientific article; zbMATH DE number 1501700 (Why is no real title available?)
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Dynamic asset-liability management with frictions
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Application of optimization methods in solving the problem of optimal control of assets and liabilities by a bank
- Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank
- Observer-based output consensus of multi-agent systems with input delay based on model predictive control
- Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models
- Global robust optimal investment strategy under the influence of liability
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