Continuous-time mean-variance asset-liability management with hidden Markovian regime switching

DOI10.1155/2014/140140zbMath1407.91242OpenAlexW2159142976WikidataQ59063118 ScholiaQ59063118MaRDI QIDQ1717734

Ling Zhang

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/140140

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market

Cites Work

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