Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model

Ping Chen; Hailiang Yang; George Yin

doi:10.1016/j.insmatheco.2008.09.001

Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model

Ping Chen, Hailiang Yang^*, George Yin

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

119 Citations (Scopus)

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	https://doi.org/10.1016/j.insmatheco.2008.09.001
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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10.1016/j.insmatheco.2008.09.001

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title = "Markowitz{\textquoteright}s mean-variance asset-liability management with regime switching: a continuous-time model",

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.",

keywords = "Asset-liability management, Continuous-time model, Efficient frontier, Linear quadratic control, Markov chain, Portfolio selection, Regime switching",

author = "Ping Chen and Hailiang Yang and George Yin",

year = "2008",

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doi = "10.1016/j.insmatheco.2008.09.001",

language = "English",

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pages = "456--465",

journal = "Insurance: Mathematics and Economics",

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AU - Chen, Ping

AU - Yang, Hailiang

AU - Yin, George

PY - 2008/12

Y1 - 2008/12

N2 - 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.

AB - 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.

KW - Asset-liability management

KW - Continuous-time model

KW - Efficient frontier

KW - Linear quadratic control

KW - Markov chain

KW - Portfolio selection

KW - Regime switching

UR - http://www.scopus.com/inward/record.url?scp=56549111638&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2008.09.001

DO - 10.1016/j.insmatheco.2008.09.001

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VL - 43

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EP - 465

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model

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Keywords

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