Markowitz's mean-variance asset-liability management with regime switching: A multi-period model

Applied Mathematical Finance

Volumn 18, Issue 1, 2011, Pages 29-50

  Chen, Ping ^a   Yang, Hailiang ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Asset liability management; Discrete time; Efficient frontier; Markov chain; Multi period; Portfolio selection; Regime switching

Indexed keywords

EID: 79951706640     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504861003703633     Document Type: Article

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