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Time-consistent investment strategy under partial information 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2015, 卷号: 65, 页码: 187-197
作者:  Li, Yongwu;  Qiao, Han;  Wang, Shouyang;  Zhang, Ling
收藏  |  浏览/下载：105/0  |  提交时间：2018/07/30
Time inconsistency  Mean-variance  Partial information  Equilibrium strategy  Extended HJB system of equations  
Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2008, 卷号: 42, 期号: 3, 页码: 943-953
作者:  Xie, Shuxiang;  Li, Zhongfei;  Wang, Shouyang
收藏  |  浏览/下载：122/0  |  提交时间：2018/07/30
portfolio selection  asset-liability management  continuous-time  mean-variance model  stochastic linear-quadratic control  
Optimal investment for an insurer: The martingale approach 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2007, 卷号: 40, 期号: 2, 页码: 322-334
作者:  Wang, Zengwu;  Xia, Jianming;  Zhang, Lihong
收藏  |  浏览/下载：124/0  |  提交时间：2018/07/30
mean-variance efficient portfolio  martingale approach  forward-backward stochastic differential equation (FBSDE)  insurer