Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model
P Chen, H Yang, G Yin
Insurance Mathematics and Economics | Published : 2008
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. © 2008 Elsevier B.V. All rights reserved.