کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076873 1374105 2013 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Markowitz's mean-variance asset-liability management with regime switching: A time-consistent approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Markowitz's mean-variance asset-liability management with regime switching: A time-consistent approach
چکیده انگلیسی
In this article, we provide the first study in the time consistent solution of the mean-variance asset-liability management (MVALM). The framework is even considered under a continuous time Markov regime-switching setting. Using the extended Hamilton-Jacobi-Bellman equation (HJB) (see Björk and Murgoci (2010)), we show that the time consistent equilibrium control is state dependent in the sense that it depends on the uncontrollable liability process, which is in substantial contrast with the time consistent solution of the similar problem in Björk and Murgoci (2010), in which it is independent of the state. Finally, we give a numerical comparison between our work with the corrected version (as obtained here) of pre-commitment strategy in Chen et al. (2008).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 1, July 2013, Pages 281-291
نویسندگان
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