Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model

DOI10.1016/J.INSMATHECO.2008.09.001MaRDI QIDQ2518552zbMATH OpenOpenAlexFDO

Authors Ping Chen, Hailiang Yang, George Yin

Publication date 16 January 2009

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2008.09.001

zbMATH Keywords

Markov chainregime switchingcontinuous-time modelportfolio selectionefficient frontierasset-liability managementlinear quadratic control

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
• Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
• Mean-variance asset-liability management problem under non-Markovian regime-switching models
• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
• Continuous-time mean-variance portfolio selection with liability and regime switching

Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• A Regime-Switching Model of Long-Term Stock Returns
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Asset and liability management under a continuous-time mean-variance optimization framework
• Asset-liability management under the safety-first principle
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing and Esscher transform under regime switching
• Ruin problems with assets and liabilities of diffusion type
• Safety First and the Holding of Assets
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Stock trading: an optimal selling rule

Cited in

(90)

• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
• Dynamic asset-liability management in a Markov market with stochastic cash flows
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
• Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state
• Multiperiod Telser's safety-first portfolio selection with regime switching
• Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
• Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
• Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
• Asset-liability management with state-dependent utility in the regime-switching market
• Portfolio selection with liability and affine interest rate in the HARA utility framework
• Optimal investment strategy for asset-liability management under the Heston model
• Mean-risk portfolio management with bankruptcy prohibition
• Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
• Mean-variance portfolio selection under a non-Markovian regime-switching model
• Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
• Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
• Dynamic asset-liability management with frictions
• A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application
• Utility-deviation-risk portfolio selection
• Pricing CDS index tranches under thinning-dependence structure with regime switching
• Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models
• Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
• Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
• Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
• Mean-variance asset-liability management with inside information
• Mean-variance asset-liability management problem under non-Markovian regime-switching models
• Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
• Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
• Markowitz's mean-variance optimization with investment and constrained reinsurance
• Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
• Time-consistent mean-variance asset-liability management with random coefficients
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• Multi-period portfolio optimization for asset-liability management with bankrupt control
• Optimal asset allocation: a worst scenario expectation approach
• On a reduced form credit risk model with common shock and regime switching
• Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
• Mean-variance asset-liability management with partial information and uncertain time horizon
• The premium of dynamic trading in a discrete-time setting
• Razumikhin-type theorems on moment exponential stability of functional differential equations involving two-time-scale Markovian switching
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Continuous-time mean-variance portfolio selection with liability and regime switching
• Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
• Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
• Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
• Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
• Mean-variance asset-liability management under constant elasticity of variance process
• Optimal portfolio selection with liability management and Markov switching under constrained variance
• Equilibrium strategy for multi-period mean-variance asset-liability management with regime switching and a stochastic cash flow
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
• Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
• Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
• Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
• Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
• A framework for treating model uncertainty in the asset liability management problem
• Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
• Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
• Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
• Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
• Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
• Time inconsistent asset-liability management with partial information
• Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
• Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
• A benchmarking approach to optimal asset allocation for insurers and pension funds
• Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
• Hybrid optimal impulse control
• Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
• Continuous-time Markowitz's model with constraints on wealth and portfolio
• Optimal mean-variance efficiency of a family with life insurance under inflation risk
• Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
• Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
• Mean-variance portfolio selection with regime switching under shorting prohibition
• Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
• Optimal dynamic mean-variance asset-liability management under the Heston model
• Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Minimum probability function of crossing the upper regulatory threshold for asset-liability management
• Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
• Continuous-time mean-variance asset-liability management with hidden Markovian regime switching

This page was built for publication: Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2518552)