{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,17]],"date-time":"2026-06-17T22:49:17Z","timestamp":1781736557163,"version":"3.54.5"},"reference-count":30,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2011,4,1]],"date-time":"2011-04-01T00:00:00Z","timestamp":1301616000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J Syst Sci Complex"],"published-print":{"date-parts":[[2011,4]]},"DOI":"10.1007\/s11424-011-9105-1","type":"journal-article","created":{"date-parts":[[2011,4,13]],"date-time":"2011-04-13T15:06:25Z","timestamp":1302707185000},"page":"317-327","source":"Crossref","is-referenced-by-count":36,"title":["Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market"],"prefix":"10.1007","volume":"24","author":[{"given":"Yan","family":"Zeng","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhongfei","family":"Li","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2011,4,14]]},"reference":[{"key":"9105_CR1","doi-asserted-by":"crossref","first-page":"77","DOI":"10.2307\/2975974","volume":"7","author":"H. Markowitz","year":"1952","unstructured":"H. Markowitz, Portfolio selection, Journal of Finance, 1952, 7: 77\u201391.","journal-title":"Journal of Finance"},{"key":"9105_CR2","doi-asserted-by":"crossref","first-page":"239","DOI":"10.2307\/1926559","volume":"51","author":"P. A. Samuelson","year":"1969","unstructured":"P. A. Samuelson, Lifetime portfolio selection by dynamic stochastic programming, Review of Economics and Statistics, 1969, 51: 239\u2013246.","journal-title":"Review of Economics and Statistics"},{"key":"9105_CR3","doi-asserted-by":"crossref","first-page":"517","DOI":"10.2307\/2330126","volume":"6","author":"N. H. Hakasson","year":"1971","unstructured":"N. H. Hakasson, Capital growth and the mean-variance approach to portfolio selection, Journal of Financial and Quantitative Analysis, 1971, 6: 517\u2013557.","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"9105_CR4","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1111\/1467-9965.00100","volume":"10","author":"D. Li","year":"2000","unstructured":"D. Li and W. L. Ng, Optimal dynamic portfolio selection: Multi-period mean-variance formulation, Mathematical Finance, 2000, 10: 387\u2013406.","journal-title":"Mathematical Finance"},{"key":"9105_CR5","doi-asserted-by":"crossref","first-page":"186","DOI":"10.1016\/j.ejor.2005.02.079","volume":"179","author":"U. Celikyurt","year":"2007","unstructured":"U. Celikyurt and S. \u00d6zekici, Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach, European Journal of Operational Research, 2007, 179: 186\u2013202.","journal-title":"European Journal of Operational Research"},{"key":"9105_CR6","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1007\/s002450010003","volume":"42","author":"X. Y. Zhou","year":"2000","unstructured":"X. Y. Zhou and D. Li, Continuous time mean-variance portfolio selection: A stochastic LQ framework, Applied Mathematics and Optimization, 2000, 42: 19\u201333.","journal-title":"Applied Mathematics and Optimization"},{"issue":"2","key":"9105_CR7","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.0960-1627.2005.00218.x","volume":"15","author":"T. R. Bielecki","year":"2005","unstructured":"T. R. Bielecki, H. Q. Jin, S. R. Pliska, X. Y. Zhou, Continuous time mean-variance portfolio selection with bankruptcy prohibition, Mathematical Finance, 2005, 15(2): 213\u2013244.","journal-title":"Mathematical Finance"},{"key":"9105_CR8","volume-title":"Portfolio Optimization and Non-Arbitrage","author":"Z. F. Li","year":"2001","unstructured":"Z. F. Li and S. Y. Wang, Portfolio Optimization and Non-Arbitrage, Science Press, Beijing, 2001 (in Chinese)."},{"key":"9105_CR9","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-642-55934-1","volume-title":"Portfolio Selection and Asset Pricing","author":"S. Y. Wang","year":"2002","unstructured":"S. Y. Wang and Y. S. Xia, Portfolio Selection and Asset Pricing, Springer-Verlag, Berlin, 2002."},{"key":"9105_CR10","doi-asserted-by":"crossref","first-page":"5","DOI":"10.3905\/jpm.1990.409248","volume":"16","author":"W. F. Sharpe","year":"1990","unstructured":"W. F. Sharpe and L. G. Tint, Liabilities\u2014A new approach, Journal of Portfolio Management, 1990, 16: 5\u201310.","journal-title":"Journal of Portfolio Management"},{"key":"9105_CR11","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2143\/AST.25.1.563252","volume":"25","author":"A. Kell","year":"1995","unstructured":"A. Kell and H. M\u00fcller, Efficient portfolios in the asset liability context, Astin Bulletin, 1995, 25: 33\u201348.","journal-title":"Astin Bulletin"},{"key":"9105_CR12","doi-asserted-by":"crossref","first-page":"255","DOI":"10.1016\/S0304-4149(98)00103-3","volume":"81","author":"R. Norberg","year":"1999","unstructured":"R. Norberg, Ruin problems with assets and liabilities of diffusion type, Journal of Stochastic Processes and Their Applications, 1999, 81: 255\u2013269.","journal-title":"Journal of Stochastic Processes and Their Applications"},{"issue":"3","key":"9105_CR13","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1080\/10920277.2003.10596099","volume":"7","author":"H. U. Gerber","year":"2004","unstructured":"H. U. Gerber and E. S.W. Shiu, Geometric Brownian motion models for assets and liabilities: From pension funding to optimal dividends, North American Actuarial Journal, 2004, 7(3): 37\u201356.","journal-title":"North American Actuarial Journal"},{"issue":"2","key":"9105_CR14","doi-asserted-by":"crossref","first-page":"404","DOI":"10.1016\/j.physa.2005.08.059","volume":"363","author":"M. Decamps","year":"2006","unstructured":"M. Decamps, A. D. Schepper, and M. Goovaerts, A path integral approach to asset-liability management, Physica A: Statistical Mechanics and Its Applications, 2006, 363(2): 404\u2013416.","journal-title":"Physica A: Statistical Mechanics and Its Applications"},{"key":"9105_CR15","doi-asserted-by":"crossref","first-page":"380","DOI":"10.1016\/j.ejor.2007.01.037","volume":"186","author":"A. Consiglio","year":"2008","unstructured":"A. Consiglio, F. Cocco, and S. A. Zenios, Asset and liability modelling for participating policies with guarantees, European Journal of Operational Research, 2008, 186: 380\u2013404.","journal-title":"European Journal of Operational Research"},{"key":"9105_CR16","doi-asserted-by":"crossref","first-page":"1079","DOI":"10.1016\/S0165-1889(03)00067-8","volume":"28","author":"M. Leippold","year":"2004","unstructured":"M. Leippold, F. Trojani, and P. Vanini, A geometric approach to multiperiod mean variance optimization of assets and liabilities, Journal of Economic Dynamics and Control, 2004, 28: 1079\u20131113.","journal-title":"Journal of Economic Dynamics and Control"},{"issue":"3","key":"9105_CR17","doi-asserted-by":"crossref","first-page":"330","DOI":"10.1016\/j.insmatheco.2006.03.006","volume":"39","author":"M. C. Chiu","year":"2006","unstructured":"M. C. Chiu and D. Li, Asset and liability management under a continuous time mean-variance optimization framework, Insurance: Mathematics and Economics, 2006, 39(3): 330\u2013355 (in Chinese).","journal-title":"Insurance: Mathematics and Economics"},{"issue":"6","key":"9105_CR18","first-page":"801","volume":"27","author":"S. X. Xie","year":"2007","unstructured":"S. X. Xie and Z. F. Li, Continuous-time portfolio selection with liability, Journal of Systems Science and Mathematical Sciences, 2007, 27(6): 801\u2013810 (in Chinese).","journal-title":"Journal of Systems Science and Mathematical Sciences"},{"key":"9105_CR19","doi-asserted-by":"crossref","first-page":"943","DOI":"10.1016\/j.insmatheco.2007.10.014","volume":"42","author":"S. X. Xie","year":"2008","unstructured":"S. X. Xie, Z. F. Li, and S. Y. Wang, Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach, Insurance: Mathematics and Economics, 2008, 42: 943\u2013953.","journal-title":"Insurance: Mathematics and Economics"},{"key":"9105_CR20","doi-asserted-by":"crossref","first-page":"456","DOI":"10.1016\/j.insmatheco.2008.09.001","volume":"43","author":"P. Chen","year":"2008","unstructured":"P. Chen, H. L. Yang, and G. Yin, Markowitz\u2019s mean-variance asset-liability management with regime switching: A continuous-time model, Insurance: Mathematics and Economics, 2008, 43: 456\u2013465.","journal-title":"Insurance: Mathematics and Economics"},{"key":"9105_CR21","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1007\/s00186-005-0446-1","volume":"62","author":"N. B\u00e4uerle","year":"2005","unstructured":"N. B\u00e4uerle, Benchmark and mean-variance problems for insurer, Mathematical Methods of Operations Research, 2005, 62: 159\u2013165.","journal-title":"Mathematical Methods of Operations Research"},{"key":"9105_CR22","volume-title":"Financial Modelling with Jump Processes","author":"R. Cont","year":"2004","unstructured":"R. Cont and P. Tankov, Financial Modelling with Jump Processes, Chapman and Hall, London, 2004."},{"key":"9105_CR23","volume-title":"Applied Stochastic Control of Jump Diffusions","author":"B. \u00d8ksendal","year":"2005","unstructured":"B. \u00d8ksendal and A. Suleml, Applied Stochastic Control of Jump Diffusions, Springer, Berlin, 2005."},{"issue":"1","key":"9105_CR24","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1023\/B:JOTA.0000026132.62934.96","volume":"121","author":"N. C. Framstad","year":"2004","unstructured":"N. C. Framstad, B. \u00d8ksendal, and A. Sulem, Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance, Journal of Optimization Theory and Applications, 2004, 121(1): 77\u201398.","journal-title":"Journal of Optimization Theory and Applications"},{"key":"9105_CR25","doi-asserted-by":"crossref","first-page":"485","DOI":"10.1007\/s001860400365","volume":"60","author":"W. J. Guo","year":"2004","unstructured":"W. J. Guo and C. Xu, Optimal portfolio selection when stock prices follow a jump-diffusion process, Mathematical Methods of Operations Research, 2004, 60: 485\u2013496.","journal-title":"Mathematical Methods of Operations Research"},{"issue":"5","key":"9105_CR26","doi-asserted-by":"crossref","first-page":"1893","DOI":"10.1137\/040610933","volume":"44","author":"A. E. B. Lim","year":"2006","unstructured":"A. E. B. Lim, Mean-variance hedging when there are jumps, SIAM Journal on Control and Optimization, 2006, 44(5): 1893\u20131992.","journal-title":"SIAM Journal on Control and Optimization"},{"key":"9105_CR27","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1016\/0304-4149(93)90010-2","volume":"46","author":"J. Paulsen","year":"1993","unstructured":"J. Paulsen, Risk theory in a stochastic economic environment, Stochastic Processes and Their Applications, 1993, 46: 327\u2013361.","journal-title":"Stochastic Processes and Their Applications"},{"issue":"1","key":"9105_CR28","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1111\/1467-9965.00044","volume":"8","author":"H. K. Koo","year":"1998","unstructured":"H. K. Koo, Consumption and portfolio selection with labor income: A continuous time approach, Mathematical Finance, 1998, 8(1): 49\u201365.","journal-title":"Mathematical Finance"},{"key":"9105_CR29","volume-title":"Controlled Markov Processes and Viscosity Solutions","author":"W. H. Fleming","year":"1993","unstructured":"W. H. Fleming and H. M. Soner, Controlled Markov Processes and Viscosity Solutions, Springer-Verlag, New York, 1993."},{"key":"9105_CR30","volume-title":"Optimization by Vector Space Methods","author":"D. G. Luenberger","year":"1968","unstructured":"D. G. Luenberger, Optimization by Vector Space Methods, Wiley, New York, 1968."}],"container-title":["Journal of Systems Science and Complexity"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-011-9105-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s11424-011-9105-1\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-011-9105-1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,1]],"date-time":"2019-06-01T14:54:02Z","timestamp":1559400842000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s11424-011-9105-1"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,4]]},"references-count":30,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2011,4]]}},"alternative-id":["9105"],"URL":"https:\/\/doi.org\/10.1007\/s11424-011-9105-1","relation":{},"ISSN":["1009-6124","1559-7067"],"issn-type":[{"value":"1009-6124","type":"print"},{"value":"1559-7067","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,4]]}}}