Markowitz's mean-variance asset-liability management with regime switching: a multi-period model (Q3004474)
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scientific article; zbMATH DE number 5903437
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| English | Markowitz's mean-variance asset-liability management with regime switching: a multi-period model |
scientific article; zbMATH DE number 5903437 |
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Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (English)
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3 June 2011
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discrete time
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multi-period
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regime switching
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Markov chain
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asset-liability management
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protfolio selection
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efficient frontier
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0.9094194173812866
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0.8801014423370361
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0.865166425704956
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0.8595974445343018
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