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

By Ping Chen, Hailiang Yang, George Yin. 2008

149 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/5e0c224788ec6999aed6e1bc8361ef539e6af0b4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Yang Shen
2. Danping Li
3. Xue Liang
4. Yan Zeng
5. Guojing Wang
6. Ping Chen
7. Zhou Yang
8. Haixiang Yao

In Finance

1. Yang Shen
2. Danping Li
3. Haixiang Yao
4. Yan Zeng
5. Guojing Wang
6. Ping Chen
7. Zhou Yang
8. Xue Liang

In Management Science and Operations Research

1. Yang Shen
2. Xue Liang
3. Guojing Wang
4. Ping Chen
5. Yan Zeng
6. Zhou Yang
7. Haixiang Yao
8. Danping Li

Citations in the corpus

• On a reduced form credit risk model with common shock and regime switching (2012, background): “See, for example, Buffngton and Elliott (2002), Elliott et al. (2005), Zhu and Yang (2008), Chen et al. (2008), Chen and Yang (2010), Capponi and Figueroa-López (2011).”
• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, background): “…has been studied by many scholars in various areas, for example, optimal investment and/or reinsurance (see Delong and Gerrard, 2007, Bai and Zhang, 2008 and Li et al., 2012) and asset–liability management (see Chiu and Li, 2006, Chen et al., 2008, Leippold et al., 2011 and Yao et al., 2013a,b).”
• Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility (2018, background): “Chen et al. (2008) and Chen and Yang (2011) extended the works of Chiu and Li (2006) and Leippold et al. (2004) to ∗Corresponding author.”