Continuous-time mean-variance portfolio selection with liability and regime switching
From MaRDI portal
Publication:659108
DOI10.1016/j.insmatheco.2009.05.005zbMath1231.91417MaRDI QIDQ659108
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.005
Markov chain; mean; asset-liability management; linear-quadratic control; continuous-time; variance model
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
60J60: Diffusion processes
91G80: Financial applications of other theories
91G10: Portfolio theory
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