Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model

DOI10.1080/13504861003703633zbMath1213.91137OpenAlexW2150319568MaRDI QIDQ3004474

Ping Chen, Hailiang Yang

Publication date: 3 June 2011

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504861003703633

zbMATH Keywords

regime switchingMarkov chaindiscrete timeasset-liability managementefficient frontiermulti-periodprotfolio selection

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

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