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Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach
14 references·13 citing·34 second hop
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this work references cited by second hop

References

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  • 1952Portfolio Selection4,609 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
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  • 1990Liabilities— A New Approach340 cited
  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
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  • 2006Asset and liability management under a continuous-time mean–variance optimization framework173 cited
  • 2004Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation167 cited
  • 2009Utility indifference pricing : an overview119 cited

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  • 2017Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility

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65 cited
  • 2014Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns61 cited
  • 2015Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model60 cited
  • 2016Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability51 cited
  • 2009Continuous-time mean–variance portfolio selection with liability and regime switching50 cited
  • 2016Mean–variance asset–liability management under constant elasticity of variance process44 cited
  • 2018Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon43 cited
  • 2019Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option42 cited
  • 2011Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market40 cited
  • 2010Optimal premium policy of an insurance firm: Full and partial information37 cited
  • 2020Dynamic asset-liability management problem in a continuous-time model with delay33 cited
  • 2017Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks31 cited
  • 2012Continuous-time mean–variance asset–liability management with endogenous liabilities28 cited