Journal article
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
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. © 2008 Elsevier B.V. All rights reserved.
Grants
Awarded by National Science Foundation
Funding Acknowledgements
The authors would like to thank the editor for his many detailed suggestions and comments. In particular, he pointed out a simpler proof of Lemma 5.1. They would also like to thank the referee for helpful comments and suggestions. This research was supported in part by the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. 7426/06H), in part by the National Science Foundation under grant DMS-0603287, and in part by the National Security Agency under grant MSPE-068-029.