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
Related Items
Optimal investment strategies for an insurer with liquid constraint, Asset-liability management with state-dependent utility in the regime-switching market, Robust optimal asset-liability management with mispricing and stochastic factor market dynamics, Dynamic asset-liability management with frictions, Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability, Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market, Optimal portfolio selection with liability management and Markov switching under constrained variance, An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process, Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks, A random parameter model for continuous-time mean-variance asset-liability management, Continuous-time mean-variance asset-liability management with hidden Markovian regime switching, Continuous-time mean-variance portfolio selection under the CEV process, Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint, Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate, Optimal investment for an insurer under liquid reserves, Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon, Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asset and liability management under a continuous-time mean-variance optimization framework
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- A game theoretic approach to option valuation under Markovian regime-switching models
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Pricing exotic options under regime switching
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Ruin problems with assets and liabilities of diffusion type
- Mean-variance portfolio and contribution selection in stochastic pension funding
- Asset and liability modelling for participating policies with guarantees
- Optimal investment-consumption strategy in a discrete-time model with regime switching
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Stock Trading: An Optimal Selling Rule
- Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Convex Programming and Duality in Normed Space
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends