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Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544

Persistent link: https://www.econbiz.de/10013489465

Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach

Zhang, Yumo - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 97-128

Persistent link: https://www.econbiz.de/10014321379

Robust asset-liability management games for "n" players under multivariate stochastic covariance models

Wang, Ning; Zhang, Yumo - In: Insurance : mathematics and economics 117 (2024), pp. 67-98

Persistent link: https://www.econbiz.de/10015066941

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics

Wang, Ning; Zhang, Yumo - In: Insurance / Mathematics & economics 113 (2023), pp. 251-273

Persistent link: https://www.econbiz.de/10014466215

Robust non-zero-sum investment-consumption games under multivariate stochastic covariance models

Zhang, Yumo; Zhu, Huainian - In: The quarterly review of economics and finance 100 (2025), pp. 1-28

Persistent link: https://www.econbiz.de/10015405512

Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility

Zhang, Yumo - 2022

This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of stochastic inflation and stochastic volatility. The objective of the two managers is to maximize the expected utility of their relative terminal...

Persistent link: https://www.econbiz.de/10014237372