Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
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- Wu, Huiling & Chen, Hua, 2015. "Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching," Economic Modelling, Elsevier, vol. 46(C), pages 79-90.
- A. Bensoussan & K. Sung & S. Yam, 2013. "Linear–Quadratic Time-Inconsistent Mean Field Games," Dynamic Games and Applications, Springer, vol. 3(4), pages 537-552, December.
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- Liang, Zongxia & Song, Min, 2015. "Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 66-76.
More about this item
KeywordsAsset–liability management; Mean–variance; Regime switching; Time consistent feedback control; Extended Hamilton–Jacobi–Bellman;
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