Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
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 |
-
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang, (2018)
-
Sun, Zhongyang, (2020)
-
Pricing and hedging in stochastic volatility regime switching models
Goutte, Stéphane, (2013)
- More ...
-
Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
Shen, Yang, (2014)
-
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Shen, Yang, (2015)
-
How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
Hainaut, Donatien, (2018)
- More ...