Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
From MaRDI portal
(Redirected from Publication:6497091)
Recommendations
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Robust optimal asset-liability management with penalization on ambiguity
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- A stochastic volatility model and optimal portfolio selection
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Asset and liability management under a continuous-time mean-variance optimization framework
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward Stochastic Differential Equations in Finance
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Functional Itô's calculus and dynamic convex risk measures for derivative securities
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- Mathematical methods for financial markets.
- Maxmin expected utility with non-unique prior
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
- Mean-variance asset-liability management under constant elasticity of variance process
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
- Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
- Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Optimal investment strategy for asset-liability management under the Heston model
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- Optimal portfolios for DC pension plans under a CEV model
- Portfolio management with stochastic interest rates and inflation ambiguity
- Portfolio optimization under model uncertainty and BSDE games
- Preference and belief: ambibiguity and competence in choice under uncertainty
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Risk, ambiguity and the Savage axioms
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Robust consumption and portfolio choice with derivatives trading
- Robust optimal asset-liability management with penalization on ambiguity
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Robust portfolio choice under the 4/2 stochastic volatility model
- Robust portfolio choice with stochastic interest rates
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Stochastic calculus and applications
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
Cited in
(7)- BSDE approach to utility maximization with square-root factor processes
- 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
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility
- Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models
- Robust Nash equilibrium for asset-liability management games under money illusion and mean-reverting return
This page was built for publication: Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6497091)
