Asset and liability management under a continuous-time mean–variance optimization framework

By Mei Choi Chiu, Duan Li. 2006

179 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/bce945c37b54f840d15b03cf51c4e5bb473a195d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Yang Shen
2. Danping Li
3. Haixiang Yao
4. Yan Zeng
5. Ping Chen
6. Elena Vigna
7. Zhou Yang
8. Lv Chen

In Management Science and Operations Research

1. Yang Shen
2. Yan Zeng
3. Ping Chen
4. Elena Vigna
5. Zhou Yang
6. Haixiang Yao
7. Danping Li
8. Guohui Guan

Citations in the corpus

• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, background): “…has been studied by many scholars in various areas, for example, optimal investment and/or reinsurance (see Delong and Gerrard, 2007, Bai and Zhang, 2008 and Li et al., 2012) and asset–liability management (see Chiu and Li, 2006, Chen et al., 2008, Leippold et al., 2011 and Yao et al., 2013a,b).”
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, unknown): “Chiu & Li (2006), Xie et al. (2008) studied continuous-time mean-variance asset-liability management.”
• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (2010, unknown): “Financial applications include hedging futures (Duffie and Richardson, 1991), insurance (Chiu and Li, 2006; Wang et al., 2007), pension asset allocation (Gerrard et al., 2004; Hojgaard and Vigna, 2007) and optimal execution of trades (Lorenz and Almgren, 2007).”
• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, background): “( 2005 ) and references therein; in the actuarial literature, see, for instance, Chiu and Li ( 2006 ) and Wang et al.”
• Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility (2018, methodology): “By employing the stochastic linear-quadratic control theory, Chiu and Li (2006) investigated a continuous-time ALM problem under the mean-variance criterion and with the assumption that the risky assets’ prices and the liability value were both governed by geometric Brownian motions.”