Dynamic asset-liability management with frictions
Year of publication: |
2023
|
---|---|
Authors: | Yan, Tingjin ; Han, Jinhui ; Ma, Guiyuan ; Siu, Chi Chung |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 111.2023, p. 57-83
|
Subject: | Asset-liability management | Temporary and persistent price impacts | Return predictability | Target-chasing strategy | Coupled matrix Riccati differential system |
-
Dynamic asset allocation with liabilities
Giamouridis, Daniel, (2017)
-
The optimum leverage level of the banking sector
Dewasurendra, Sagara, (2019)
-
Beer, Christian, (2015)
- More ...
-
Strategic Trading with Information Acquisition and Long-Memory Stochastic Liquidity
Han, Jinhui, (2021)
-
Relative performance evaluation for dynamic contracts in a large competitive market
Han, Jinhui, (2022)
-
Long Memory in Retail Trading Activity
Han, Jinhui, (2022)
- More ...