Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/66857
| Title: | Dynamic asset-liability management in a Markov market with stochastic cash flows | Authors: | Yao, HX Li, X Hao, ZF Li, Y |
Issue Date: | 2016 | Source: | Quantitative finance, 2016, v. 16, no. 10, p. 1575-1597 | Keywords: | Stochastic cash flow Asset-liability management Multi-period mean-variance model Markov regime-switching Efficient investment strategy |
Publisher: | Routledge, Taylor & Francis Group | Journal: | Quantitative finance | ISSN: | 1469-7688 | EISSN: | 1469-7696 | DOI: | 10.1080/14697688.2016.1151070 | Rights: | © 2016 Informa UK Limited, trading as Taylor & Francis Group This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on29 Apr 2016 (published online), available at: http://www.tandfonline.com/10.1080/14697688.2016.1151070. |
| Appears in Collections: | Journal/Magazine Article |
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| Yao_Dynamic_Asset-liability_Management.pdf | Pre-Published version | 183.85 kB | Adobe PDF | View/Open |
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