Time-consistent mean-variance asset-liability management in a regime-switching jump-diffusion market
Yu Yang, Yonghong Wu, Benchawan Wiwatanapataphee
| Year of publication: |
2020
|
|---|---|
| Authors: | Yang, Yu ; Wu, Yonghong ; Wiwatanapataphee, Benchawan |
| Subject: | Asset-liability management | Extended Hamilton-Jacobi-Bellman system | Regime-switching | Markov chain | Jump-diffusion | Time inconsistency | Equilibrium control | Markov-Kette | Zeitkonsistenz | Time consistency | Theorie | Theory | Portfolio-Management | Portfolio selection | Bilanzstrukturmanagement | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-020-00360-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012309913