Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks

Mathematical Methods of Operations Research ◽

10.1007/s00186-017-0580-6 ◽

2017 ◽

Vol 85 (3) ◽

pp. 491-519 ◽

Author(s):

Jian Pan ◽

Qingxian Xiao

Keyword(s):

Interest Rates ◽

Asset Liability Management ◽

Stochastic Interest Rates ◽

Liability Management ◽

Stochastic Interest ◽

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Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2018180 ◽

2020 ◽

Vol 16 (2) ◽

pp. 813-834

Author(s):

Huai-Nian Zhu ◽

◽

Cheng-Ke Zhang ◽

Zhuo Jin ◽

Keyword(s):

Interest Rates ◽

Continuous Time ◽

Asset Liability Management ◽

Stochastic Interest Rates ◽

Liability Management ◽

Stochastic Interest ◽

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Optimal asset–liability management with liquidity constraints and stochastic interest rates in the expected utility framework

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2016.11.037 ◽

2017 ◽

Vol 317 ◽

pp. 371-387 ◽

Author(s):

Jian Pan ◽

Qingxian Xiao

Keyword(s):

Interest Rates ◽

Expected Utility ◽

Liquidity Constraints ◽

Asset Liability Management ◽

Stochastic Interest Rates ◽

Liability Management ◽

Stochastic Interest

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Optimal dynamic asset-liability management with stochastic interest rates and inflation risks

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2017.07.001 ◽

2017 ◽

Vol 103 ◽

pp. 460-469 ◽

Author(s):

Jian Pan ◽

Qingxian Xiao

Keyword(s):

Interest Rates ◽

Asset Liability Management ◽

Stochastic Interest Rates ◽

Liability Management ◽

Stochastic Interest ◽

Optimal Dynamic

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Logarithm utility portfolio for asset and liability management with stochastic interest rates

2012 24th Chinese Control and Decision Conference (CCDC) ◽

10.1109/ccdc.2012.6244328 ◽

2012 ◽

Author(s):

Hao Chang ◽

Kai Chang

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Liability Management ◽

Stochastic Interest ◽

Asset And Liability Management

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Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2020026 ◽

2017 ◽

Vol 13 (5) ◽

pp. 0-0

Author(s):

Lihua Bian ◽

◽

Zhongfei Li ◽

Haixiang Yao ◽

◽

...

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Management Problem ◽

Asset Liability Management ◽

Liability Management ◽

Stochastic Interest ◽

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Continuous-Time Mean-Variance Portfolio Selection Problem with Ho-Lee Stochastic Interest Rates

Proceedings of the 2017 International Conference on Applied Mathematics, Modeling and Simulation (AMMS 2017) ◽

10.2991/amms-17.2017.5 ◽

2017 ◽

Author(s):

Chuangwei Lin ◽

Li Zeng

Keyword(s):

Interest Rates ◽

Portfolio Selection ◽

Continuous Time ◽

Selection Problem ◽

Stochastic Interest Rates ◽

Portfolio Selection Problem ◽

Stochastic Interest ◽

Mean Variance Portfolio ◽

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Mean-variance Portfolio Selection Problem with Vasicek Stochastic Interest Rates

DEStech Transactions on Economics Business and Management ◽

10.12783/dtem/icssed2018/20310 ◽

2018 ◽

Author(s):

Chuangwei Lin ◽

Li Zeng

Keyword(s):

Interest Rates ◽

Portfolio Selection ◽

Selection Problem ◽

Stochastic Interest Rates ◽

Portfolio Selection Problem ◽

Stochastic Interest ◽

Mean Variance Portfolio ◽

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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

10.1007/978-3-642-17041-6 ◽

2004 ◽

Author(s):

Holger Kraft

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Optimal Portfolios ◽

Stochastic Interest

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Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

SSRN Electronic Journal ◽

10.2139/ssrn.1283186 ◽

2008 ◽

Author(s):

Francois Quittard-Pinon ◽

Rivo A Randrianarivony

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest

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A Note on Exchange Options Under Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.1626020 ◽

2010 ◽

Author(s):

Carole Bernard ◽

Zhenyu Cui

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Exchange Options

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