Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model

Ping Chen, Hailiang Yang and George Yin

Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 456-465

Abstract: This paper considers an asset-liability management (ALM) problem under a continuous-time Markov regime-switching model. By adopting the techniques of [Zhou, X.Y., Yin, G., 2003. Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model. SIAM J. Control Optim. 42, 1466-1482], we investigate the feasibility, obtain the optimal strategy, delineate the efficient frontier, and establish the associated mutual fund theorem.

Keywords: Continuous-time; model; Regime; switching; Markov; chain; Asset-liability; management; Portfolio; selection; Efficient; frontier; Linear; quadratic; control (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:456-465

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