Mean-variance asset-liability management under constant elasticity of variance process
Year of publication: |
September 2016
|
---|---|
Authors: | Zhang, Miao ; Chen, Ping |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 11-18
|
Subject: | Mean-variance | Asset-liability management | Constant elasticity of variance | Multiple assets | BSDE | Theorie | Theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance |
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