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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinflationasset-liability managementstochastic interest ratemean-variance

Mathematics Subject Classification ID

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)

Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market ⋮ A framework for treating model uncertainty in the asset liability management problem ⋮ Dynamic asset-liability management with frictions ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading

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