Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model

  title={Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model},
  author={Ping Chen and Hailiang Yang and George Yin},
  journal={Insurance Mathematics \& Economics},
Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
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Asset and Liability Management for an Insurer with Jump-Diffusion Surplus Process under Mean-Variance Criterion
  • Huiling Wu, Zhongfei Li
  • Mathematics
    2010 Third International Conference on Business Intelligence and Financial Engineering
  • 2010
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