Title of article
Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model
Author/Authors
Chen، نويسنده , , Ping and Yang، نويسنده , , Hailiang and Yin، نويسنده , , George، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
10
From page
456
To page
465
Abstract
This paper considers an asset-liability management (ALM) problem under a continuous-time Markov regime-switching model. By adopting the techniques of [Zhou, X.Y., Yin, G., 2003. Markowitz’s mean-variance portfolio selection with regime switching: A continuous-time model. SIAM J. Control Optim. 42, 1466–1482], we investigate the feasibility, obtain the optimal strategy, delineate the efficient frontier, and establish the associated mutual fund theorem.
Keywords
Markov chain , Asset-liability management , Portfolio Selection , efficient frontier , linear quadratic control , Continuous-time model , Regime switching
Journal title
Insurance Mathematics and Economics
Serial Year
2008
Journal title
Insurance Mathematics and Economics
Record number
1543673
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