Time-consistent mean-variance asset-liability management in a regime-switching jump-diffusion market
Year of publication: |
2020
|
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Authors: | Yang, Yu ; Wu, Yonghong ; Wiwatanapataphee, Benchawan |
Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 34.2020, 4, p. 401-427
|
Subject: | Asset-liability management | Extended Hamilton-Jacobi-Bellman system | Regime-switching | Markov chain | Jump-diffusion | Time inconsistency | Equilibrium control | Theorie | Theory | Zeitkonsistenz | Time consistency | Markov-Kette | Portfolio-Management | Portfolio selection | Geldpolitik | Monetary policy |
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