Concepedia

Optimal asset–liability management with liquidity constraints and stochastic interest rates in the expected utility framework

Jian Pan, Xiao Qing-xian

Journal of Computational and Applied Mathematics · 2016 · 30 citations · 18 references

Concepts

ManagementEconomicsFinanceAsset PricingFinancial EconomicsFinancial Risk ManagementAsset Pricing TheoryAsset-liability ManagementCredit RiskFinancial RiskLiquidity RiskAsset-liability ValuationExpected Utility MaximizationExpected Utility OptimizationIntegrated Asset-liability OptimizationStochastic Asset-liability Management

References

18

Continuous-Time Finance.

Stephen A. Ross, Robert C. Merton · The Journal of Finance · 1991 · 1.8K citations

Social Sciences, Economics, Finance +8

Capital requirements and the behaviour of commercial banks

Jean‐Charles Rochet · European Economic Review · 1992 · 659 citations

Business, Business Economics, Finance +14

Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

Jean‐François Boulier, ShaoJuan Huang, Grégory Taillard · Insurance Mathematics and Economics · 2001 · 290 citations

Business, Economics, Finance +16

Strategic asset allocation with liabilities: Beyond stocks and bonds

Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman et al. · Journal of Economic Dynamics and Control · 2008 · 221 citations · Full text

Business, Finance, Real Estate +17

A geometric approach to multiperiod mean variance optimization of assets and liabilities

Markus Leippold, Fabio Trojani, Paolo Vanini · Journal of Economic Dynamics and Control · 2003 · 188 citations · Full text

Social Sciences, Finance, Financial Management +13