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

TitleMarkowitz's mean-variance asset-liability management with regime switching: A continuous-time model
Authors
KeywordsAsset-liability management
Continuous-time model
Efficient frontier
Linear quadratic control
Markov chain
Portfolio selection
Regime switching
Issue Date2008
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2008, v. 43 n. 3, p. 456-465 How to Cite?
AbstractThis 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.
Persistent Identifierhttp://hdl.handle.net/10722/59880
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
Funding AgencyGrant Number
Hong Kong Special Administrative Region, China7426/06H
National Science FoundationDMS-0603287
National Security AgencyMSPE-068-029
Funding Information:

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.

References

 

DC FieldValueLanguage
dc.contributor.authorChen, Pen_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorYin, Gen_HK
dc.date.accessioned2010-05-31T03:59:18Z-
dc.date.available2010-05-31T03:59:18Z-
dc.date.issued2008en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2008, v. 43 n. 3, p. 456-465en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59880-
dc.description.abstractThis 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.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.subjectAsset-liability managementen_HK
dc.subjectContinuous-time modelen_HK
dc.subjectEfficient frontieren_HK
dc.subjectLinear quadratic controlen_HK
dc.subjectMarkov chainen_HK
dc.subjectPortfolio selectionen_HK
dc.subjectRegime switchingen_HK
dc.titleMarkowitz's mean-variance asset-liability management with regime switching: A continuous-time modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=ISSN: 0167-6687&volume=43&spage=456&epage=465&date=2008&atitle=Markowitz%27s+mean-variance+asset-liability+management+with+regime+switching:+a+continuous-time+modelen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2008.09.001en_HK
dc.identifier.scopuseid_2-s2.0-56549111638en_HK
dc.identifier.hkuros159267en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-56549111638&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume43en_HK
dc.identifier.issue3en_HK
dc.identifier.spage456en_HK
dc.identifier.epage465en_HK
dc.identifier.isiWOS:000261920500020-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridChen, P=7408353516en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridYin, G=7201456006en_HK

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