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Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework.

Jian PanQingxian Xiao
Published in: J. Comput. Appl. Math. (2017)
Keyphrases
  • asset liability management
  • expected utility
  • optimal strategy
  • decision theory
  • pareto optimal
  • theoretical framework
  • utility function
  • stochastic programming
  • decision making
  • mathematical model
  • multistage