Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model

被引：112

作者：

Chen, Ping ^{[1
]}

Yang, Hailiang ^{[1
]}

Yin, George ^{[2
]}

机构：

[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

[2] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2008年 / 43卷 / 03期

基金：

美国国家科学基金会;

关键词：

Continuous-time model; Regime switching; Markov chain; Asset-liability management; Portfolio selection; Efficient frontier; Linear quadratic control;

D O I：

10.1016/j.insmatheco.2008.09.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：456 / 465

页数：10

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