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 meanvariance 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.
| Original language | English |
|---|---|
| Pages (from-to) | 456-465 |
| Number of pages | 10 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 43 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Dec 2008 |
| Externally published | Yes |
Keywords
- Asset-liability management
- Continuous-time model
- Efficient frontier
- Linear quadratic control
- Markov chain
- Portfolio selection
- Regime switching
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Chen, P., Yang, H., & Yin, G. (2008). Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Insurance: Mathematics and Economics, 43(3), 456-465. https://doi.org/10.1016/j.insmatheco.2008.09.001