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Mean–Variance Asset–Liability Management Problem Under Non-Markovian Regime-Switching Models
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 1990Liabilities— A New Approach340 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 2002Mean-Variance Portfolio Selection with Random Parameters in a Complete Market263 cited
  • 2004Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits226 cited
  • 2003A geometric approach to multiperiod mean variance optimization of assets and liabilities179 cited
  • 2004Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market177 cited
  • 2006Asset and liability management under a continuous-time mean–variance optimization framework173 cited

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  • 2008Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model138 cited
  • 2005Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection111 cited
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