Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach

By Shu-yi Xie, Zhongfei Li, Shouyang Wang. 2008

108 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d6fda74c582a5108a00620032d27ed46a3140c6d

How researchers see this paper

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

In Demography

1. Yang Shen
2. Danping Li
3. Yan Zeng
4. Lv Chen

In Finance

1. Yang Shen
2. Danping Li
3. Yan Zeng
4. Lv Chen
5. Zhongfei Li

In Management Science and Operations Research

1. Yang Shen
2. Yan Zeng
3. Danping Li

Citations in the corpus

• 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.”
• Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility (2018, background): “Xie et al. (2008) described the liability by a Brownian motion with a drift.”