Time-consistent mean-variance asset-liability management with random coefficients
Jiaqin Wei, Tianxiao Wang
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Wei, Jiaqin ; Wang, Tianxiao |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 77.2017, p. 84-96
|
| Subject: | Asset-liability management | Mean-variance | Equilibrium strategy | Time-inconsistent control problem | Stochastic interest rate | Theorie | Theory | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency | Bilanzstrukturmanagement | Stochastischer Prozess | Stochastic process | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.08.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011783919