Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
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Publication:931178
DOI10.1016/j.insmatheco.2007.10.014zbMath1141.91474OpenAlexW1992136278MaRDI QIDQ931178
Shuxiang Xie, Zhong-Fei Li, Shou-Yang Wang
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.014
asset-liability managementportfolio selectionmean-variance modelcontinuous-timestochastic linear-quadratic control
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