Dynamic asset allocation under VaR constraint with stochastic interest rates
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DOI: 10.1007/s10479-008-0509-9
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- Sheng Delei, 2016. "Explicit Solution of the Optimal Reinsurance-Investment Problem with Promotion Budget," Journal of Systems Science and Information, De Gruyter, vol. 4(2), pages 131-148, April.
- Qicai Li & Mengdi Gu & Zhibing Liang, 2014. "Optimal excess-of-loss reinsurance and investment polices under the CEV model," Annals of Operations Research, Springer, vol. 223(1), pages 273-290, December.
- Nicole Branger & An Chen & Antje Mahayni & Thai Nguyen, 2023. "Optimal collective investment: an analysis of individual welfare," Mathematics and Financial Economics, Springer, volume 17, number 5, February.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022.
"On the risk management of demand deposits: quadratic hedging of interest rate margins,"
Annals of Operations Research, Springer, vol. 313(2), pages 1319-1355, June.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2020. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Post-Print hal-03676446, HAL.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Post-Print hal-03679403, HAL.
- Chen, An & Nguyen, Thai & Rach, Manuel, 2021. "Optimal collective investment: The impact of sharing rules, management fees and guarantees," Journal of Banking & Finance, Elsevier, vol. 123(C).
- Yao, Haixiang & Li, Zhongfei & Li, Duan, 2016. "Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability," European Journal of Operational Research, Elsevier, vol. 252(3), pages 837-851.
- Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi, 2021. "Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 168-184.
- Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
- Hainaut, Donatien & Devineau, Laurent, 2024. "Participating life insurances in an equity-Libor Market Model," LIDAM Discussion Papers ISBA 2024015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Motte, Edouard & Hainaut, Donatien, 2024. "Efficient hedging of life insurance portfolio for loss-averse insurers," LIDAM Discussion Papers ISBA 2024013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Marco Nicolosi & Flavio Angelini & Stefano Herzel, 2018. "Portfolio management with benchmark related incentives under mean reverting processes," Annals of Operations Research, Springer, vol. 266(1), pages 373-394, July.
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Keywords
Asset allocation; Value at risk; Bounded shortfall risk; Stochastic interest rates;All these keywords.
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