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Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework.
Jian Pan
Qingxian Xiao
Published in:
J. Comput. Appl. Math. (2017)
Keyphrases
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asset liability management
expected utility
optimal strategy
decision theory
pareto optimal
theoretical framework
utility function
stochastic programming
decision making
mathematical model
multistage