Time-consistent strategy for general multi-period mean-variance asset-liability management in a Markov market (Q3306973)
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scientific article; zbMATH DE number 7234218
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| English | Time-consistent strategy for general multi-period mean-variance asset-liability management in a Markov market |
scientific article; zbMATH DE number 7234218 |
Statements
12 August 2020
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Markov regime-switching
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intertemporal restrictions
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asset-liability management
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time-consistent strategy
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equilibrium effective frontier
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0.8909879326820374
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0.8756529092788696
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0.8752615451812744
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0.8675498962402344
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0.8576735854148865
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