Asset-liability management under the safety-first principle
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Publication:846949
DOI10.1007/S10957-009-9576-6zbMATH Open1182.91190OpenAlexW1979553061WikidataQ57445465 ScholiaQ57445465MaRDI QIDQ846949FDOQ846949
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
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Cites Work
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- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Safety First and the Holding of Assets
- Optimal risk management in defined benefit stochastic pension funds
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- A Stochastic Programming Model
- Asset and liability management under a continuous-time mean-variance optimization framework
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- Continuous-time portfolio optimization under terminal wealth constraints
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
Cited In (16)
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- 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
- Linking strategic and tactical planning systems for asset and liability management
- Asset and liability risk management in financial markets
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- The optimal portfolios based on a modified safety-first rule with risk-free saving
- Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
- Mean-variance portfolio selection with correlation risk
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
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