Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
Year of publication: |
2013
|
---|---|
Authors: | Wei, J. ; Wong, K.C. ; Yam, S.C.P. ; Yung, S.P. |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 1, p. 281-291
|
Publisher: |
Elsevier |
Subject: | Asset–liability management | Mean–variance | Regime switching | Time consistent feedback control | Extended Hamilton–Jacobi–Bellman |
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