Optimal dynamic mean-variance asset-liability management under the Heston model
Work
Year: 2018
Type: article
Abstract: This paper studies a continuous-time mean-variance asset-liability management problem under the Heston model. Specifically, an asset-liability manager is allowed to invest in a risk-free asset and a r... more
Source: Advances in Difference Equations
Authors Jian Pan, Zujin Zhang, Xiangying Zhou
Institutions Numerical Method (China), Gannan Normal University
Cites: 19
Cited by: 7
Related to: 10
FWCI: 0.549
Citation percentile (by year/subfield): 70.88
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,300
Grant ID No.11501125