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 / Mathematics & economics. - 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

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10011825217

A service of the