Cousin, Areski; Jiao, Ying; Robert, Christian Yann; … - In: Risks : open access journal 10 (2022) 1, pp. 1-28
This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we present a general utility optimization problem...
