Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Danping Li, Yang Shen, Yan Zeng
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Li, Danping ; Shen, Yang ; Zeng, Yan |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 78.2018, p. 72-86
|
| Subject: | Asset-liability management | Derivative investment | Mean-variance criterion | Stochastic volatility | Backward stochastic differential equation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Derivat | Derivative | Hedging | Optionspreistheorie | Option pricing theory | Bilanzstrukturmanagement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.11.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011825217