Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model
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- 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.
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- Yao, Haixiang & Lai, Yongzeng & Li, Yong, 2013. "Continuous-time mean–variance asset–liability management with endogenous liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 6-17.
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- repec:eee:insuma:v:77:y:2017:i:c:p:84-96 is not listed on IDEAS
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Keywordsdiscrete time; multi-period; regime switching; markov chain; asset-liability management; portfolio selection; efficient frontier;
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