Mean-variance asset-liability management under constant elasticity of variance process
Miao Zhang, Ping Chen
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Zhang, Miao ; Chen, Ping |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 11-18
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| Subject: | Mean-variance | Asset-liability management | Constant elasticity of variance | Multiple assets | BSDE | Portfolio-Management | Portfolio selection | Theorie | Theory | Varianzanalyse | Analysis of variance | Bilanzstrukturmanagement | Elastizität | Elasticity | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.05.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597077