Jump-diffusion asset-liabilty management via risk-sensitive control
Mark H. A. Davis; Sébastien Lleo
| Year of publication: |
2015
|
|---|---|
| Authors: | Davis, Mark H. A. ; Lleo, Sébastien |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 37.2015, 3, p. 655-675
|
| Subject: | Asset and liability management | Risk-sensitive asset management | Risk-sensitive control | Classical solutions | Viscosity solutions | Jump diffusion processes | Fund separation theorems | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011296728