Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market.

Yan Zeng Zhongfei Li

Published in: J. Syst. Sci. Complex. (2011)

Keyphrases

asset liability management
financial institutions
stochastic programming
linear program
investment strategies
portfolio optimization
decision making
stock market
lower bound
utility function
stock price
association rules
software engineering
multiple criteria
portfolio selection
risk aversion