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

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  • Chen, Ping
  • Yang, Hailiang
  • Yin, George

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.

Suggested Citation

  • Chen, Ping & Yang, Hailiang & Yin, George, 2008. "Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 456-465, December.
    • Handle: RePEc:eee:insuma:v:43:y:2008:i:3:p:456-465
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    References listed on IDEAS

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