An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
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- Lukasz Delong, 2010. "Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management," Papers 1005.4417, arXiv.org, revised Jan 2011.
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Keywords
Backward stochastic differential equation Weak property of predictable representation Quadratic optimization Equity-linked payment process Unsystematic and systematic insurance risk;Statistics
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