Dynamic asset-liability management with frictions
From MaRDI portal
Publication:6171945
DOI10.1016/j.insmatheco.2023.03.001zbMath1520.91359MaRDI QIDQ6171945
Guiyuan Ma, Jinhui Han, Tingjin Yan, Chi Chung Siu
Publication date: 18 July 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
asset-liability managementreturn predictabilitycoupled matrix Riccati differential systemtarget-chasing strategytemporary and persistent price impacts
Related Items (1)
Cites Work
- Unnamed Item
- Dynamic portfolio choice with frictions
- Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
- Continuous-time mean-variance portfolio selection with liability and regime switching
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
- Asset and liability management under a continuous-time mean-variance optimization framework
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- The impact of illiquidity on the asset management of insurance companies
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Matrix Riccati equations in control and systems theory
- Time-consistent mean-variance asset-liability management with random coefficients
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Incorporating signals into optimal trading
- Dynamic portfolio choice with return predictability and transaction costs
- Dynamic mean-variance problem with frictions
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Continuous-time mean-variance asset-liability management with endogenous liabilities
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Optimal portfolio execution problem with stochastic price impact
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Mean-variance asset-liability management under constant elasticity of variance process
- Relative performance evaluation for dynamic contracts in a large competitive market
- Investment Strategies under Transaction Costs: The Finite Horizon Case
- A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management
- Robust Portfolio Control with Stochastic Factor Dynamics
- Portfolio choice with small temporary and transient price impact
- Dynamic asset-liability management problem in a continuous-time model with delay
This page was built for publication: Dynamic asset-liability management with frictions
