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Markowitz's mean-variance asset-liability management with regime switching : a multi-period model

Chen, Ping; Yang, Hailiang - In: Applied mathematical finance 18 (2011) 1/2, pp. 29-50

Persistent link: https://www.econbiz.de/10009155490

Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes

Zhao, Yongxia; Chen, Ping; Yang, Hailiang - In: Insurance / Mathematics & economics 74 (2017), pp. 135-146

Persistent link: https://www.econbiz.de/10011712427

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

Chen, Ping; Yang, Hailiang; Yin, George - In: Insurance: Mathematics and Economics 43 (2008) 3, pp. 456-465

This paper considers an asset-liability management (ALM) problem under a continuous-time Markov regime-switching model. By adopting the techniques of [Zhou, X.Y., Yin, G., 2003. Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model. SIAM J. Control Optim....

Persistent link: https://www.econbiz.de/10005380554

Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model

Chen, Ping; Yang, Hailiang - In: Applied Mathematical Finance 18 (2011) 1, pp. 29-50

This paper considers an optimal portfolio selection problem under Markowitz's mean-variance portfolio selection problem in a multi-period regime-switching model. We assume that there are n + 1 securities in the market. Given an economic state which is modelled by a finite state Markov chain, the...

Persistent link: https://www.econbiz.de/10009279099

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

Chen, Ping; Yang, Hailiang; Yin, George - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 456-465

Persistent link: https://www.econbiz.de/10008149202

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

Chen, Ping; Yang, Hailiang; Yin, George - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 456-466

Persistent link: https://www.econbiz.de/10008893148

Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model

Chen, Ping; Yang, Hailiang - In: Applied mathematical finance 18 (2011) 1, pp. 29-51

Persistent link: https://www.econbiz.de/10008844202

Target benefit versus defined contribution scheme : a multi-period framework

Chen, Ping; Yao, Haixiang; Yang, Hailiang; Zhu, Dan - In: ASTIN bulletin : the journal of the International … 53 (2023) 3, pp. 545-579

Persistent link: https://www.econbiz.de/10014342511