Optimal dynamic mean-variance asset-liability management under the Heston model
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DOI: 10.1186/s13662-018-1677-9
Abstract: This paper studies a continuous-time mean-variance asset-liability management problem under the Heston model. Specifically, an asset-liability manager is allowed to invest in a risk-free asset and a risky asset whose price process is governed by… read more here.
Keywords: mean variance; asset liability; heston model; asset ... See more keywords