Asset-liability management under the safety-first principle

DOI10.1007/S10957-009-9576-6MaRDI QIDQ846949zbMATH OpenOpenAlexWikidataFDO

Authors Mei Choi Chiu, Duan Li

Publication date 15 February 2010

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-009-9576-6

zbMATH Keywords

portfolio selectionefficient frontierasset-liability managementsafety-first

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Asset and liability management under a continuous-time mean-variance optimization framework
• Dynamic asset liability management with tolerance for limited shortfalls
• Optimum safety/return principle and applications
• scientific article; zbMATH DE number 1247838
• Generalized Safety First and a New Twist on Portfolio Performance

Cites work

• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
• scientific article; zbMATH DE number 1247838 (Why is no real title available?)
• A Stochastic Programming Model
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Asset and liability management under a continuous-time mean-variance optimization framework
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time portfolio optimization under terminal wealth constraints
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal risk management in defined benefit stochastic pension funds
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Ruin problems with assets and liabilities of diffusion type
• Safety First and the Holding of Assets
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

Cited in

(16)

• Portfolio optimization under safety first expected utility with nonlinear probability distortion
• Mean-variance portfolio selection with correlation risk
• Mean-variance asset-liability management: cointegrated assets and insurance liability
• A smooth non-parametric estimation framework for safety-first portfolio optimization
• Asset and liability risk management in financial markets
• Multiperiod Telser's safety-first portfolio selection with regime switching
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
• The impact of general correlation under multi-period mean-variance asset-liability portfolio management
• Dynamic safety first expected utility model
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• The optimal portfolios based on a modified safety-first rule with risk-free saving
• Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
• Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
• Linking strategic and tactical planning systems for asset and liability management

This page was built for publication: Asset-liability management under the safety-first principle

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q846949)