Time-consistent mean-variance asset-liability management with random coefficients
Year of publication: |
November 2017
|
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Authors: | Wei, Jiaqin ; Wang, Tianxiao |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 77.2017, p. 84-96
|
Subject: | Asset-liability management | Mean-variance | Equilibrium strategy | Time-inconsistent control problem | Stochastic interest rate | Theorie | Theory | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency | Geldpolitik | Monetary policy |
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