Open AccessContinuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
Author(s) -
Huainian Zhu,
Chengke Zhang,
Zhuo Jin
Publication year - 2020
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2018180
Subject(s) - hamilton–jacobi–bellman equation , geometric brownian motion , stochastic differential equation , efficient frontier , mathematics , stochastic control , interest rate , brownian motion , econometrics , economics , liability , bond , mathematical economics , mathematical optimization , portfolio , optimal control , finance , diffusion process , statistics , service (business) , economy