Matches in SemOpenAlex for { <https://semopenalex.org/work/W3100508412> ?p ?o ?g. }
- W3100508412 endingPage "1336" @default.
- W3100508412 startingPage "1315" @default.
- W3100508412 abstract "This paper investigates a dynamic continuous-time asset-liability management (ALM) problem with delay under the mean-variance criterion. The investor allocates her wealth in a financial market consisting of one risk-free asset and one risky asset, and she is subject to a random liability. The historical information of the wealth and liability affects the investor's wealth process, which is then governed by a stochastic differential delay equation. Firstly, a general ALM problem with delay is formulated and the extended Hamilton-Jacobi-Bellman system of equations is obtained. Secondly, we focus on a linear model and derive the closed-form expressions of the equilibrium investment strategy and the corresponding equilibrium value function. Meanwhile, we also derive the pre-commitment strategy for the mean-variance ALM problem with delay using the maximum principle. Finally, some numerical examples and sensitivity analysis are presented to illustrate the equilibrium investment strategies and the efficient frontiers under the equilibrium and pre-commitment frameworks." @default.
- W3100508412 created "2020-11-23" @default.
- W3100508412 creator A5000447919 @default.
- W3100508412 creator A5005066179 @default.
- W3100508412 creator A5012338028 @default.
- W3100508412 date "2020-12-04" @default.
- W3100508412 modified "2023-10-13" @default.
- W3100508412 title "Dynamic asset-liability management problem in a continuous-time model with delay" @default.
- W3100508412 cites W1967453651 @default.
- W3100508412 cites W1977954009 @default.
- W3100508412 cites W1987404879 @default.
- W3100508412 cites W1988936876 @default.
- W3100508412 cites W1992136278 @default.
- W3100508412 cites W1993308628 @default.
- W3100508412 cites W1993643789 @default.
- W3100508412 cites W2011136920 @default.
- W3100508412 cites W2030741073 @default.
- W3100508412 cites W2035639783 @default.
- W3100508412 cites W2039498973 @default.
- W3100508412 cites W2048207845 @default.
- W3100508412 cites W2054595450 @default.
- W3100508412 cites W2075090252 @default.
- W3100508412 cites W2081431450 @default.
- W3100508412 cites W2104405260 @default.
- W3100508412 cites W2113118602 @default.
- W3100508412 cites W2138562182 @default.
- W3100508412 cites W2161447021 @default.
- W3100508412 cites W2170707681 @default.
- W3100508412 cites W2178320768 @default.
- W3100508412 cites W2410780574 @default.
- W3100508412 cites W2531526193 @default.
- W3100508412 cites W2594413444 @default.
- W3100508412 cites W2752153790 @default.
- W3100508412 cites W2771925028 @default.
- W3100508412 cites W2789592307 @default.
- W3100508412 cites W2794305678 @default.
- W3100508412 cites W2800437156 @default.
- W3100508412 cites W2806089226 @default.
- W3100508412 cites W2891188720 @default.
- W3100508412 cites W2910147398 @default.
- W3100508412 cites W2970339371 @default.
- W3100508412 cites W299346747 @default.
- W3100508412 cites W3022326679 @default.
- W3100508412 cites W3036368173 @default.
- W3100508412 cites W3121342156 @default.
- W3100508412 cites W3124854273 @default.
- W3100508412 cites W3125837753 @default.
- W3100508412 cites W4251562186 @default.
- W3100508412 doi "https://doi.org/10.1080/00207179.2020.1849807" @default.
- W3100508412 hasPublicationYear "2020" @default.
- W3100508412 type Work @default.
- W3100508412 sameAs 3100508412 @default.
- W3100508412 citedByCount "19" @default.
- W3100508412 countsByYear W31005084122022 @default.
- W3100508412 countsByYear W31005084122023 @default.
- W3100508412 crossrefType "journal-article" @default.
- W3100508412 hasAuthorship W3100508412A5000447919 @default.
- W3100508412 hasAuthorship W3100508412A5005066179 @default.
- W3100508412 hasAuthorship W3100508412A5012338028 @default.
- W3100508412 hasConcept C10138342 @default.
- W3100508412 hasConcept C103144560 @default.
- W3100508412 hasConcept C121955636 @default.
- W3100508412 hasConcept C126255220 @default.
- W3100508412 hasConcept C144237770 @default.
- W3100508412 hasConcept C14646407 @default.
- W3100508412 hasConcept C162324750 @default.
- W3100508412 hasConcept C170131372 @default.
- W3100508412 hasConcept C175444787 @default.
- W3100508412 hasConcept C181622380 @default.
- W3100508412 hasConcept C196083921 @default.
- W3100508412 hasConcept C2777834853 @default.
- W3100508412 hasConcept C28826006 @default.
- W3100508412 hasConcept C33923547 @default.
- W3100508412 hasConcept C38652104 @default.
- W3100508412 hasConcept C41008148 @default.
- W3100508412 hasConcept C51955184 @default.
- W3100508412 hasConcept C76178495 @default.
- W3100508412 hasConcept C91575142 @default.
- W3100508412 hasConceptScore W3100508412C10138342 @default.
- W3100508412 hasConceptScore W3100508412C103144560 @default.
- W3100508412 hasConceptScore W3100508412C121955636 @default.
- W3100508412 hasConceptScore W3100508412C126255220 @default.
- W3100508412 hasConceptScore W3100508412C144237770 @default.
- W3100508412 hasConceptScore W3100508412C14646407 @default.
- W3100508412 hasConceptScore W3100508412C162324750 @default.
- W3100508412 hasConceptScore W3100508412C170131372 @default.
- W3100508412 hasConceptScore W3100508412C175444787 @default.
- W3100508412 hasConceptScore W3100508412C181622380 @default.
- W3100508412 hasConceptScore W3100508412C196083921 @default.
- W3100508412 hasConceptScore W3100508412C2777834853 @default.
- W3100508412 hasConceptScore W3100508412C28826006 @default.
- W3100508412 hasConceptScore W3100508412C33923547 @default.
- W3100508412 hasConceptScore W3100508412C38652104 @default.
- W3100508412 hasConceptScore W3100508412C41008148 @default.
- W3100508412 hasConceptScore W3100508412C51955184 @default.
- W3100508412 hasConceptScore W3100508412C76178495 @default.
- W3100508412 hasConceptScore W3100508412C91575142 @default.
- W3100508412 hasFunder F4320321001 @default.