Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
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Publication:2518552
DOI10.1016/J.INSMATHECO.2008.09.001zbMATH Open1152.91496OpenAlexW1987097469MaRDI QIDQ2518552FDOQ2518552
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
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Markov chainregime switchingcontinuous-time modelportfolio selectionefficient frontierasset-liability managementlinear quadratic control
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