The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion wit...
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| Autores principales: | , , , , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Hindawi Limited
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/e316d2e472ba4209a2c59e56fd496046 |
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