Mean–variance equilibrium asset-liability management strategy with cointegrated assets

Keyphrases

• Management Strategy 100%
• Asset Liability Management 100%
• Time Inconsistency 100%
• Management Challenges 66%
• Financial Markets 66%
• Risky Assets 66%
• Mean-variance 66%
• Copyright 33%
• Putting 33%
• Continuous-time 33%
• Cointegration 33%
• Institutional Investors 33%
• Time Economy 33%
• Hamilton-Jacobi-Bellman 33%
• Feedback Equilibrium 33%
• Equilibrium Control 33%

Economics, Econometrics and Finance

• Asset-Liability Management 100%
• Financial Market 66%
• Investors 33%
• Continuous Time 33%
• Wealth 33%
• Institutional Investor 33%
• Dynamic Inconsistency 33%