MEAN-VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS

Chiu, MC

Chiu, MC (corresponding author), Educ Univ Hong Kong, Dept Math & Informat Technol, Tai Po, 10 Ping Rd, Hong Kong, Peoples R China.

ANZIAM JOURNAL, 2020; 62 (2): 209

Abstract

This paper investigates asset-liability management problems in a continuous-time economy. When the financial market consists of cointegrated risky ass......

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