Jump-diffusion asset-liabilty management via risk-sensitive control
Year of publication: |
2015
|
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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 | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Vermögensverwaltung | Asset management |
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