Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

DOI10.1007/S11424-011-9105-1zbMATH Open1237.91224OpenAlexW1994157038MaRDI QIDQ646757FDOQ646757

Authors: Yan Zeng, Zhongfei Li 

Publication date: 17 November 2011

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-011-9105-1

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationduality theoryasset-liability managementbenchmark and mean-variance modelsjump diffusion market

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

Cites Work

• Financial Modelling with Jump Processes
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• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
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• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
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• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends

Cited In (28)

• On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
• Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
• Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
• Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
• Portfolio selection with liability and affine interest rate in the HARA utility framework
• A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
• Title not available (Why is that?)
• The impact of general correlation under multi-period mean-variance asset-liability portfolio management
• Dynamic asset allocation with loss aversion in a jump-diffusion model
• Asset and liability risk management in financial markets
• Title not available (Why is that?)
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
• Dynamic asset-liability management problem in a continuous-time model with delay
• Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
• Multi-period portfolio optimization for asset-liability management with bankrupt control
• Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
• Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
• The optimal investment problem with inflation and liquidity risk
• Solving a fractional programming problem in a commercial bank
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
• Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
• OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET
• Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
• Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
• A random parameter model for continuous-time mean-variance asset-liability management
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature

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