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- W2379948771 abstract "This paper deals with a mean-variance asset-liability problem for jump-diffusion model under no-shorting constraints.A continuous solution of the HJB equation is constructed through two Ricttati equations,and show that this function is a viscosity solution of the HJB equation.Using the viscosity solution and verification theorem,explicitly the optimal strategy and the mean-variance efficient frontier in closed forms are obtained." @default.
- W2379948771 created "2016-06-24" @default.
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- W2379948771 date "2014-01-01" @default.
- W2379948771 modified "2023-09-23" @default.
- W2379948771 title "Dynamic Mean-variance Asset-liability Problem for Jump-diffusion Model with No-shorting Constraints" @default.
- W2379948771 hasPublicationYear "2014" @default.
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