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- Publisher Website: 10.1016/j.insmatheco.2013.05.008
- Scopus: eid_2-s2.0-84879580693
- WOS: WOS:000322803700024
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Article: Markowitz's Mean-Variance Asset-Liability Management With Regime Switching: A Time-Consistent Approach
Title | Markowitz's Mean-Variance Asset-Liability Management With Regime Switching: A Time-Consistent Approach |
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Authors | |
Keywords | Asset-liability management Extended Hamilton-Jacobi-Bellman Mean-variance Regime switching Time consistent feedback control |
Issue Date | 2013 |
Citation | Insurance: Mathematics and Economics, 2013, v. 53, p. 281-291 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/189150 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Yam, SC | en_US |
dc.contributor.author | Wei, JQ | en_US |
dc.contributor.author | WONG, KC | en_US |
dc.contributor.author | Yung, SP | en_US |
dc.date.accessioned | 2013-09-17T14:28:06Z | - |
dc.date.available | 2013-09-17T14:28:06Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Insurance: Mathematics and Economics, 2013, v. 53, p. 281-291 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/189150 | - |
dc.language | eng | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Asset-liability management | - |
dc.subject | Extended Hamilton-Jacobi-Bellman | - |
dc.subject | Mean-variance | - |
dc.subject | Regime switching | - |
dc.subject | Time consistent feedback control | - |
dc.title | Markowitz's Mean-Variance Asset-Liability Management With Regime Switching: A Time-Consistent Approach | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yung, SP: spyung@hku.hk | en_US |
dc.identifier.authority | Yung, SP=rp00838 | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2013.05.008 | - |
dc.identifier.scopus | eid_2-s2.0-84879580693 | - |
dc.identifier.hkuros | 225192 | en_US |
dc.identifier.volume | 53 | en_US |
dc.identifier.spage | 281 | en_US |
dc.identifier.epage | 291 | en_US |
dc.identifier.isi | WOS:000322803700024 | - |