Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach (Q2446009)
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scientific article; zbMATH DE number 6285085
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| English | Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach |
scientific article; zbMATH DE number 6285085 |
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Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach (English)
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15 April 2014
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asset-liability management
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mean-variance
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regime switching
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time consistent feedback control
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extended Hamilton-Jacobi-Bellman
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0.8756529092788696
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0.8654203414916992
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0.8262197375297546
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0.8216837048530579
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