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

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  1. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
  2. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
  3. Huiling Wu, 2016. "Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-17, July.
  4. Zhang, Miao & Chen, Ping, 2016. "Mean–variance asset–liability management under constant elasticity of variance process," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 11-18.
  5. Chang Hao & Wang Chunfeng & Fang Zhenming, 2017. "Portfolio Selection with Random Liability and Affine Interest Rate in the Mean-Variance Framework," Journal of Systems Science and Information, De Gruyter, vol. 5(3), pages 229-249, June.
  6. Ping Chen & Hailiang Yang, 2010. "Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(2), pages 125-141, March.
  7. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
  8. Yao, Haixiang & Li, Zhongfei & Chen, Shumin, 2014. "Continuous-time mean–variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 36(C), pages 244-251.
  9. Yu Yang & Yonghong Wu & Benchawan Wiwatanapataphee, 2020. "Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 401-427, December.
  10. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
  11. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
  12. Jun Yu, 2014. "Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 317-330, November.
  13. Qian Zhao & Jiaqin Wei & Rongming Wang, 2013. "Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion," Papers 1304.7882, arXiv.org.
  14. Fei Lung Yuen & Hailiang Yang, 2012. "Optimal Asset Allocation: A Worst Scenario Expectation Approach," Journal of Optimization Theory and Applications, Springer, vol. 153(3), pages 794-811, June.
  15. 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.
  16. Yumo Zhang, 2023. "Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-32, March.
  17. Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.
  18. Wei, Jiaqin & Wang, Tianxiao, 2017. "Time-consistent mean–variance asset–liability management with random coefficients," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 84-96.
  19. Huiling Wu, 2013. "Mean-Variance Portfolio Selection with a Stochastic Cash Flow in a Markov-switching Jump–Diffusion Market," Journal of Optimization Theory and Applications, Springer, vol. 158(3), pages 918-934, September.
  20. Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022. "Non-homogeneous stochastic LQ control with regime switching and random coefficients," Papers 2201.01433, arXiv.org, revised Jul 2023.
  21. Hu, Fengxia & Wang, Rongming, 2017. "Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint," Applied Mathematics and Computation, Elsevier, vol. 313(C), pages 103-118.
  22. Jian Pan & Qingxian Xiao, 2017. "Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 491-519, June.
  23. Georgios I. Papayiannis, 2023. "A Framework for Treating Model Uncertainty in the Asset Liability Management Problem," Papers 2310.11987, arXiv.org.
  24. 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.
  25. Wong, K.C. & Yam, S.C.P. & Zeng, J., 2019. "Mean-risk portfolio management with bankruptcy prohibition," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 153-172.
  26. Wei, J. & Wong, K.C. & Yam, S.C.P. & Yung, S.P., 2013. "Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 281-291.
  27. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
  28. Wang, Ning & Zhang, Yumo, 2023. "Robust optimal asset-liability management with mispricing and stochastic factor market dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 251-273.
  29. Junna Bi & Zhibin Liang & Kam Chuen Yuen, 2019. "Optimal mean–variance investment/reinsurance with common shock in a regime-switching market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(1), pages 109-135, August.
  30. Lu Yang & Chengke Zhang & Huainian Zhu, 2022. "Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 361-384, March.
  31. Li, Danping & Shen, Yang & Zeng, Yan, 2018. "Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 72-86.
  32. Chi Kin Lam & Yuhong Xu & Guosheng Yin, 2016. "Dynamic portfolio selection without risk-free assets," Papers 1602.04975, arXiv.org.
  33. Yao, Haixiang & Zeng, Yan & Chen, Shumin, 2013. "Multi-period mean–variance asset–liability management with uncontrolled cash flow and uncertain time-horizon," Economic Modelling, Elsevier, vol. 30(C), pages 492-500.
  34. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
  35. Guan, Guohui & Liang, Zongxia, 2015. "Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 99-109.
  36. Zhang, Miao & Chen, Ping & Yao, Haixiang, 2017. "Mean-variance portfolio selection with only risky assets under regime switching," Economic Modelling, Elsevier, vol. 62(C), pages 35-42.
  37. Liang, Xue & Wang, Guojing, 2012. "On a reduced form credit risk model with common shock and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 567-575.
  38. Chen, Ping & Yam, S.C.P., 2013. "Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 871-883.
  39. Liang, Zongxia & Zhao, Xiaoyang, 2016. "Optimal mean–variance efficiency of a family with life insurance under inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 164-178.
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