Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility-Reference-Cited by-同舟云学术

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Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility

Published:2018-01 Issue: Volume:78 Page:72-86
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Li Danping,Shen Yang,Zeng Yan

Funder

National Natural Science Foundation of China

Ying Tung Education Foundation for Young Teachers in the Higher Education Institutions of China

Guangdong Natural Science Funds for Distinguished Young Scholar

Natural Science Foundation of Guangdong Province of China

Science and Technology Planning Project of Guangdong Province

Fundamental Research Funds for the Central Universities

Natural Sciences and Engineering Research Council of Canada

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference40 articles.

1. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations;Bouchard;Stochastic Process. Appl.,2004

2. Markowitz’s mean–variance asset–liability management with regime switching: A multi-period model;Chen;Appl. Math. Finance,2011

3. Markowitz’s mean–variance asset–liability management with regime switching: A continuous-time model;Chen;Insurance Math. Econom.,2008

4. Asset–liability management in continuous-time: Cointegration and exponential utility;Chiu,2017

5. Asset and liability management under a continuous-time mean–variance optimization framework;Chiu;Insurance Math. Econom.,2006

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