| Dynamic asset–liability management in a Markov market with stochastic cash flows | |
| Yao, Haixiang; Li, Xun; Hao, Zhifeng; Li, Yong | |
| 刊名 | Quantitative Finance
 |
| 2016 | |
| 卷号 | Vol.16 No.10页码:1575-1597 |
| 关键词 | Stochastic cash flow Asset–liability management Multi-period mean–variance model Markov regime-switching Efficient investment strategy |
| ISSN号 | 1469-7688 |
| URL标识 | 查看原文 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/1922758 |
| 专题 | 广东外语外贸大学（超星） |
| 作者单位 | 1.UQ Business School, The University of Queensland, St Lucia, QLD4072, Australia 2.Faculty of Automation, Guangdong University of Technology, Guangzhou510006, China 3.Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong 4.School of Mathematics and Big Data, Foshan University, Foshan528000, China 5.School of Finance, Guangdong University of Foreign Studies, Guangzhou510006, China |
| 推荐引用方式 GB/T 7714 | Yao, Haixiang,Li, Xun,Hao, Zhifeng,et al. Dynamic asset–liability management in a Markov market with stochastic cash flows[J]. Quantitative Finance,2016,Vol.16 No.10:1575-1597. |
| APA | Yao, Haixiang,Li, Xun,Hao, Zhifeng,&Li, Yong.(2016).Dynamic asset–liability management in a Markov market with stochastic cash flows.Quantitative Finance,Vol.16 No.10,1575-1597. |
| MLA | Yao, Haixiang,et al."Dynamic asset–liability management in a Markov market with stochastic cash flows".Quantitative Finance Vol.16 No.10(2016):1575-1597. |
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