Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504861003703633
Reference39 articles.
1. ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
2. Pricing exotic options under regime switching
3. Computing efficient frontiers using estimated parameters
4. Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
5. AMERICAN OPTIONS WITH REGIME SWITCHING
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