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Article: Markowitz's mean-variance asset-liability management with regime switching: A multi-period model

TitleMarkowitz's mean-variance asset-liability management with regime switching: A multi-period model
Authors
KeywordsAsset-liability management
Discrete time
Efficient frontier
Markov chain
Multi-period
Portfolio selection
Regime switching
Issue Date2011
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/1350486x.html
Citation
Applied Mathematical Finance, 2011, v. 18 n. 1, p. 29-50 How to Cite?
AbstractThis paper considers an optimal portfolio selection problem under Markowitz's meanvariance portfolio selection problem in a multi-period regime-switching model. We assume that there are n + 1 securities in the market. Given an economic state which is modelled by a finite state Markov chain, the return of each security at a fixed time point is a random variable. The return random variables may be different if the economic state is changed even for the same security at the same time point. We start our analysis from the no-liability case, in the spirit of Li and Ng (2000), both the optimal investment strategy and the efficient frontier are derived. Then we add uncontrollable liability into the model. By direct comparison with the no-liability case, the optimal strategy can be derived explicitly. © 2011 Taylor & Francis.
Persistent Identifierhttp://hdl.handle.net/10722/135508
ISSN
2015 SCImago Journal Rankings: 0.545
References

 

DC FieldValueLanguage
dc.contributor.authorChen, Pen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2011-07-27T01:36:10Z-
dc.date.available2011-07-27T01:36:10Z-
dc.date.issued2011en_HK
dc.identifier.citationApplied Mathematical Finance, 2011, v. 18 n. 1, p. 29-50en_HK
dc.identifier.issn1350-486Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/135508-
dc.description.abstractThis paper considers an optimal portfolio selection problem under Markowitz's meanvariance portfolio selection problem in a multi-period regime-switching model. We assume that there are n + 1 securities in the market. Given an economic state which is modelled by a finite state Markov chain, the return of each security at a fixed time point is a random variable. The return random variables may be different if the economic state is changed even for the same security at the same time point. We start our analysis from the no-liability case, in the spirit of Li and Ng (2000), both the optimal investment strategy and the efficient frontier are derived. Then we add uncontrollable liability into the model. By direct comparison with the no-liability case, the optimal strategy can be derived explicitly. © 2011 Taylor & Francis.en_HK
dc.languageengen_US
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/1350486x.htmlen_HK
dc.relation.ispartofApplied Mathematical Financeen_HK
dc.rightsThis is an electronic version of an article published in Applied Mathematical Finance, 2011, v. 18 n. 1, p. 29-50. The article is available online at: http://www.tandfonline.com/doi/abs/10.1080/13504861003703633.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectAsset-liability managementen_HK
dc.subjectDiscrete timeen_HK
dc.subjectEfficient frontieren_HK
dc.subjectMarkov chainen_HK
dc.subjectMulti-perioden_HK
dc.subjectPortfolio selectionen_HK
dc.subjectRegime switchingen_HK
dc.titleMarkowitz's mean-variance asset-liability management with regime switching: A multi-period modelen_HK
dc.typeArticleen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1080/13504861003703633en_HK
dc.identifier.scopuseid_2-s2.0-79951706640en_HK
dc.identifier.hkuros187202en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79951706640&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume18en_HK
dc.identifier.issue1en_HK
dc.identifier.spage29en_HK
dc.identifier.epage50en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridChen, P=7408353516en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.citeulike8891342-

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