Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model (Q2518552)
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scientific article; zbMATH DE number 5493039
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| English | Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model |
scientific article; zbMATH DE number 5493039 |
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Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model (English)
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16 January 2009
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continuous-time model
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regime switching
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Markov chain
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asset-liability management
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portfolio selection
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efficient frontier
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linear quadratic control
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0.9094194173812866
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0.8788380026817322
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0.8731196522712708
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0.8654203414916992
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0.8618848919868469
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