Continuous-time mean-variance portfolio selection with liability and regime switching (Q659108): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.005 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2014359507 / rank | |||
Normal rank | |||
Revision as of 19:09, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean-variance portfolio selection with liability and regime switching |
scientific article |
Statements
Continuous-time mean-variance portfolio selection with liability and regime switching (English)
0 references
10 February 2012
0 references
continuous-time
0 references
mean
0 references
variance model
0 references
asset-liability management
0 references
Markov chain
0 references
linear-quadratic control
0 references
