Continuous-time mean–variance asset–liability management with endogenous liabilities
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- Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
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- Zhang, Miao & Chen, Ping, 2016. "Mean–variance asset–liability management under constant elasticity of variance process," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 11-18.
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More about this item
KeywordsEndogenous liabilities; Mean–variance; Asset–liability management; Efficient frontier; Hamilton–Jacobi–Bellman equation;
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