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

被引：108
|
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
收藏
页码：456 / 465
页数：10
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