Journal article

Mean-variance asset-liability management under constant elasticity of variance process

Miao Zhang, Ping Chen

Insurance: Mathematics and Economics | ELSEVIER SCIENCE BV | Published : 2016

DOI: 10.1016/j.insmatheco.2016.05.019

University of Melbourne Researchers

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Keywords

Random Parameters
Physical Sciences
Multiple Assets
Constant Elasticity of Variance
Framework
Science & Technology
Mathematical Methods in Social Sciences
Economics
Strategy
Statistics & Probability
Market
Risky Assets
Social Sciences
Mathematics
Social Sciences, Mathematical Methods
Asset-Liability Management
Optimization
Business & Economics
Dynamic Portfolio Selection
Bsde
Continuous-Time Model
Mathematics, Interdisciplinary Applications
Mean-Variance
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