Mean–variance asset–liability management: Cointegrated assets and insurance liability-Reference-Cited by-同舟云学术

Mean–variance asset–liability management: Cointegrated assets and insurance liability

Published:2012-12 Issue:3 Volume:223 Page:785-793
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Chiu Mei Choi,Wong Hoi Ying

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference25 articles.

1. Matrix Riccati Equations in Control and Systems Theory;Abou-Kandil,2003

2. Optimal hedging using cointegration;Alexander;Philosophical Transactions of the Royal Society A,1999

3. Common stochastic trends in a system of exchange rates;Baillie;Journal of Finance,1989

4. Generalized Poisson Models and Their Applications in Insurance and Finance;Bening,2002

5. Common volatility in major stock index futures markets;Booth;European Journal of Operational Research,2010

Cited by 52 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions;European Journal of Operational Research;2024-10

2. Dynamic asset-liability management with frictions;Insurance: Mathematics and Economics;2023-07

3. Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading;Journal of Industrial and Management Optimization;2023

4. Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model;Journal of Industrial and Management Optimization;2023

5. Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market;International Journal of Control;2022-09-28