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

Keyphrases

• Asset Management 100%
• Continuous-time 100%
• Control Framework 25%
• Copyright 25%
• Efficient Frontier 25%
• Equity Holders 25%
• Equity Investors 25%
• Funding Ratio 25%
• Liability Management 100%
• Management Challenges 25%
• Management Policy 25%
• Mean-variance Optimization 100%
• Mutual Funds 25%
• Optimal Control Theory 25%
• Optimal Policy 25%
• Optimization Framework 100%
• Optimization Problem 25%
• Stochastic Linear Quadratic Control 25%
• Stochastic Optimal Control 25%
• Time Setting 25%

Economics, Econometrics and Finance

• Continuous Time 100%
• Investors 50%
• Optimal Control 50%
• Wealth 50%