This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...

This paper investigates an optimal asset-liability management (ALM) problem within the expected utility maximization framework. The general hyperbolic absolute risk aversion (HARA) utility is adopted to describe the risk preference of the asset-liability manager. The financial market comprises a...

This paper studies robust optimal asset-liability management problems for an ambiguity-averse manager in a possibly non-Markovian environment with stochastic investment opportunities. The manager has access to one risk-free asset and one risky asset in a financial market. The market price of...