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

DOI10.1016/j.insmatheco.2013.05.008zbMath1284.91533OpenAlexW2039498973MaRDI QIDQ2446009

Sheung Chi Phillip Yam, Jiaqin Wei, Kwok Chuen Wong, Siu Pang Yung

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.05.008

zbMATH Keywords

regime switchingasset-liability managementmean-varianceextended Hamilton-Jacobi-Bellmantime consistent feedback control

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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