Mean-variance principle of managing cointegrated risky assets and random liabilities

Keyphrases

• Risky Assets 100%
• Mean-variance 100%
• Cointegration 66%
• Asset Liability Management 66%
• Copyright 33%
• Management Policy 33%
• Management Challenges 33%
• Discrete-time 33%
• Efficient Frontier 33%
• Diffusion Limit 33%
• Error Correction Model 33%
• Closed-form Formula 33%
• Backward Stochastic Differential Equation 33%
• Geometric Brownian Motion 33%

Economics, Econometrics and Finance

• Asset-Liability Management 100%
• Levy Process 50%