Asset allocation under stochastic interest rate with regime switching
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References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yao, Haixiang & Li, Zhongfei & Li, Duan, 2016. "Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability," European Journal of Operational Research, Elsevier, vol. 252(3), pages 837-851.
- Shen, Yang & Siu, Tak Kuen, 2013. "Pricing bond options under a Markovian regime-switching Hull–White model," Economic Modelling, Elsevier, vol. 30(C), pages 933-940.
- repec:eee:ecmode:v:66:y:2017:i:c:p:223-232 is not listed on IDEAS
- Jinzhi Li & Haiying Liu, 2015. "Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 143-156, June.
- Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.
- Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
- repec:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500297 is not listed on IDEAS
- Nicole Bauerle & Stefanie Grether, 2017. "Extremal Behavior of Long-Term Investors with Power Utility," Papers 1703.04423, arXiv.org, revised Jun 2017.
More about this item
KeywordsStochastic interest rate; Regime-switching; Stochastic flows; Dynamic programming principle; HJB equation;
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