Dynamic asset–liability management in a Markov market with stochastic cash flows

Keyphrases

• Cash Flow 100%
• Markov 100%
• Stochastic Cash Flow 100%
• Liquidity Management 100%
• Management Challenges 50%
• Management Strategy 50%
• Dynamic Programming Algorithm 50%
• Higher Returns 50%
• Expected Returns 50%
• Flow Problems 50%
• Dynamic User Optimal 50%
• Closed-form Expression 50%
• Efficient Frontier 50%
• Dynamic Process 50%
• Asset Returns 50%
• Efficient Investment Strategy 50%
• Switching Probability 50%
• Minimum Variance 50%
• Management Process 50%
• Risk Level 50%
• State Switching 50%
• Investment Horizon 50%
• Bi-objective 50%
• Optimal Investment 50%
• Market States 50%
• Matrix Theory 50%
• Defined Benefit Pension Plans 50%
• Discrete-time Markov Chain 50%
• Lagrange Dual 50%
• Out-of-sample Analysis 50%
• Markov Regime Switching Market 50%
• Investment Management 50%
• Assets-liabilities 50%
• Dual Principle 50%
• Investor-state 50%

Economics, Econometrics and Finance

• Cash Flow 100%
• Investors 50%
• Capital Market Returns 25%
• Investment Strategies 25%
• Dynamic Programming 25%
• Markov Chain 25%
• Regime Switching 25%
• Wealth 25%
• Management Strategy 25%