Equilibrium strategy for multi-period mean-variance asset-liability management with regime switching and a stochastic cash flow

MaRDI QIDQ5115167zbMATH OpenFDO

Authors Hao Ge, Zhongfei Li

Publication date 12 August 2020

zbMATH Keywords

equilibrium effective frontierequilibrium strategyregime-switchingstochastic cash flow

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10)

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Cited in

(12)

• Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
• Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
• Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
• Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
• Stochastic control for multiperiod mean-variance asset-liability management
• Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
• Time-consistent strategy for general multi-period mean-variance asset-liability management in a Markov market
• Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
• Dynamic asset-liability management in a Markov market with stochastic cash flows
• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow

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