Asset-liability management under the safety-first principle

DOI10.1007/s10957-009-9576-6zbMath1182.91190OpenAlexW1979553061WikidataQ57445465 ScholiaQ57445465MaRDI QIDQ846949

Mei Choi Chiu, Li, Duan

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

asset-liability managementportfolio selectionefficient frontiersafety-first

Mathematics Subject Classification ID

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

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Portfolio optimization under safety first expected utility with nonlinear probability distortion ⋮ Optimal dynamic asset-liability management with stochastic interest rates and inflation risks ⋮ Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan ⋮ A smooth non-parametric estimation framework for safety-first portfolio optimization ⋮ Multiperiod Telser's safety-first portfolio selection with regime switching ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ Mean-variance portfolio selection with correlation risk ⋮ Mean-variance asset-liability management: cointegrated assets and insurance liability ⋮ Dynamic safety first expected utility model ⋮ 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 ⋮ Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model ⋮ Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

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