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Optimal asset–liability management with liquidity constraints and stochastic interest rates in the expected utility framework
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References

  • 1991Continuous-Time Finance.1,788 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 1992Capital requirements and the behaviour of commercial banks654 cited
  • 2006Interest Rate Models — Theory and Practice311 cited
  • 2001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund284 cited
  • 2008Strategic asset allocation with liabilities: Beyond stocks and bonds244 cited
  • 2003A geometric approach to multiperiod mean variance optimization of assets and liabilities179 cited
  • 2006Asset and liability management under a continuous-time mean–variance optimization framework173 cited
  • 2002A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates167 cited
  • 2007On reinsurance and investment for large insurance portfolios106 cited
  • 2001A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities53 cited
  • 2010Portfolio Optimization43 cited

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