Mean–variance asset–liability management under constant elasticity of variance process
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- Zhang, Miao & Chen, Ping & Yao, Haixiang, 2017. "Mean-variance portfolio selection with only risky assets under regime switching," Economic Modelling, Elsevier, vol. 62(C), pages 35-42.
More about this item
KeywordsMean-variance; Asset-liability management; Constant elasticity of variance; Multiple assets; BSDE;
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