
ASSET-LIABILITY MANAGEMENT UNDER BENCHMARK AND MEAN-VARIANCECRITERIA IN A JUMP DIFFUSION MARKET
Yan ZENG;Zhongfei LI
Journal of Systems Science & Complexity ›› 2011, Vol. 24 ›› Issue (2) : 317-327.
ASSET-LIABILITY MANAGEMENT UNDER BENCHMARK AND MEAN-VARIANCECRITERIA IN A JUMP DIFFUSION MARKET
Asset-liability management / benchmark and mean-variance models / duality theory / jump diffusion market / Hamilton-Jacobi-Bellman equation. {{custom_keyword}} /
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