This paper investigates a dynamic continuous-time asset-liability management (ALM)
problem with delay under the mean-variance criterion. The investor allocates her wealth in a …

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 studies a mean-variance investment-reinsurance problem under a new
stochastic volatility model, namely the 4/2 stochastic volatility model. Solving this problem …

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 …

Due to the non-separability of the variance term, the dynamic mean–variance (MV) portfolio
optimization problem is inherently difficult to solve by dynamic programming. Li and Ng …

This paper investigates the effects of derivative trading on the performance of asset-liability
management in the presence of stochastic interest rate and stochastic volatility under the …

In this paper, we investigate the optimal investment and reinsurance strategies for a mean-
variance insurer when the surplus process is represented by a Cramér-Lundberg model. It is …

This article describes a robust continuous-time asset-liability management problem under
Markov regime-switching. First, we employ the “homothetic robustness” to preserve the …

This paper investigates an optimal asset-liability management (ALM) problem within the
expected utility maximization framework. The general hyperbolic absolute risk aversion …

This paper considers an optimal investment problem with mispricing in the family of 4/2
stochastic volatility models under mean–variance criterion. The financial market consists of a …