Continuous-time mean-variance portfolio selection with liability and regime switching (Q659108)
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scientific article; zbMATH DE number 6004628
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| English | Continuous-time mean-variance portfolio selection with liability and regime switching |
scientific article; zbMATH DE number 6004628 |
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Continuous-time mean-variance portfolio selection with liability and regime switching (English)
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10 February 2012
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continuous-time
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mean
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variance model
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asset-liability management
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Markov chain
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linear-quadratic control
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0.8844303488731384
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0.8752874135971069
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0.8722780346870422
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0.865166425704956
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