Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
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Cites work
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Cited in
(30)- 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
- Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Dynamic asset allocation with loss aversion in a jump-diffusion model
- scientific article; zbMATH DE number 6296770 (Why is no real title available?)
- The impact of general correlation under multi-period mean-variance asset-liability portfolio management
- Asset and liability risk management in financial markets
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- scientific article; zbMATH DE number 6874859 (Why is no real title available?)
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- 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
- Dynamic asset-liability management problem in a continuous-time model with delay
- 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
- Jump-diffusion asset-liability management via risk-sensitive control
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
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- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
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- 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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