Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
DOI10.3934/jimo.2018180zbMath1449.90242OpenAlexW2906239041WikidataQ128644412 ScholiaQ128644412MaRDI QIDQ781093
Zhuo Jin, Huai-nian Zhu, Cheng-ke Zhang
Publication date: 16 July 2020
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2018180
Hamilton-Jacobi-Bellman equationinflationasset-liability managementstochastic interest ratemean-variance
Management decision making, including multiple objectives (90B50) Brownian motion (60J65) Dynamic programming (90C39) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (4)
Cites Work
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