OpenAlex | Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

Work

Year: 2019

Type: article

Abstract: This paper investigates a continuous-time Markowitz mean-variance asset-liability management (ALM) problem under stochastic interest rates and inflation risks. We assume that the company can invest in... more

Source: Journal of Industrial and Management Optimization

Authors Huainian Zhu, Chengke Zhang, Zhuo Jin

Institutions Guangdong University of Technology, The University of Melbourne

Cites: 31

Cited by: 7

Related to: 10

FWCI: 0.784

Citation percentile (by year/subfield): 79.52

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Sustainable Development Goal Decent work and economic growth

Open Access status: gold