Dynamic asset–liability management in a Markov market with stochastic cash flows
From MaRDI portal
Publication:4554228
DOI10.1080/14697688.2016.1151070zbMath1400.91570OpenAlexW2342910209MaRDI QIDQ4554228
Zhifeng Hao, Yong Li, Haixiang Yao, Xun Li
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1151070
asset-liability managementMarkov regime-switchingstochastic cash flowefficient investment strategymulti-period mean-variance model
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