Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
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Publication:646757
DOI10.1007/s11424-011-9105-1zbMath1237.91224OpenAlexW1994157038MaRDI QIDQ646757
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
Hamilton-Jacobi-Bellman equationduality theoryasset-liability managementbenchmark and mean-variance modelsjump diffusion market
Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)
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