This paper investigates a robust optimal asset-liability management problem under an
expected utility maximization criterion. More specifically, the manager is concerned about …

This paper investigates a non-zero-sum stochastic differential game among n competitive
CARA asset-liability managers, who are concerned about the potential model ambiguity and …

In addressing asset-liability management (ALM) problems, goal programming (GP) has
been widely applied to integrate multiple objectives. However, it is inadequate in handling …

In this paper, we investigate an investment–consumption optimization problem in continuous-
time settings, where the expected rate of return from a risky asset is predictable with an …

This paper considers the optimal management for both the defined-contribution (DC) and
defined-benefit (DB) pension plans in a continuous time framework. In particular, analytical …

This paper studies the stochastic differential game problem of robust optimal asset-liability
management between two ambiguity-averse investors with delay under the constant …

The convertible bond has become an important tool in financial market and enjoyed
significant growth in China's capital markets since the Chinese government decided to …