A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is application/pdf
.
Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching
2014
Mathematical Problems in Engineering
This paper considers a continuous-time mean-variance asset-liability management problem with incompletely observable information. An investor can only observe the prices of the asset and liability and the dynamics of the unobservable states of the underlying financial market is described by a hidden Markovian chain. The price of the risky asset is assumed to be governed by a hidden Markovian regime switching geometric Brownian motion and the liability is assumed to follow a hidden Markovian
doi:10.1155/2014/140140
fatcat:lnqxhdpsvjccdprbj4ndgr4mam