Markowitz's Mean-variance Asset-liability Management With Regime Switching: A Continuous-time Model

摘要

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, C, 2003. Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model. S1AM J. Control Optim. 42, 1466-1482], we investigate the feasibility, obtain the optimal strategy, delineate the efficient frontier, and establish the associated mutual fund theorem.