Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market
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DOI: 10.1007/s11408-020-00360-6
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More about this item
Keywords
Asset-liability management; Extended Hamilton–Jacobi–Bellman system; Regime-switching; Markov chain; Jump-diffusion; Time inconsistency; Equilibrium control;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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