Markowitz's mean-variance asset-liability management with regime switching: A time-consistent approach

Insurance: Mathematics and Economics

Volumn 53, Issue 1, 2013, Pages 281-291

  Wei, J ^a   Wong, K C ^b   Yam, S C P ^c   Yung, S P ^b  

^a MACQUARIE UNIVERSITY   (Australia)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Asset liability management; Extended Hamilton Jacobi Bellman; Mean variance; Regime switching; Time consistent feedback control

Indexed keywords

EID: 84879580693     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2013.05.008     Document Type: Article

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