Time-Consistent Strategy for General Multi-Period Mean-Variance Asset-Liability Management in a Markov Market

GE Hao,LI Zhongfei

Journal of Systems Science and Mathematical Sciences ›› 2019, Vol. 39 ›› Issue (10) : 1609-1631.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Mathematical Sciences ›› 2019, Vol. 39 ›› Issue (10) : 1609-1631. DOI: 10.12341/jssms13705

Time-Consistent Strategy for General Multi-Period Mean-Variance Asset-Liability Management in a Markov Market

  • GE Hao 1,2，LI Zhongfei3
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2019, 39(10): 1609-1631 https://doi.org/10.12341/jssms13705

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