Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Mean variance asset liability management with regime switching   This paper is concerned with mean variance portfolio selection with
liability, regime switching and random coefficients. To tackle the problem, we
first study a general non-homogeneous stochastic linear quadratic (LQ) control
problem for which two systems of backward stochastic differential equations
(BSDEs) with unbounded coefficients are introduced. The existence and
uniqueness of the solutions to these two systems of BSDEs are proved by some
estimates of BMO martingales and contraction mapping method. Then we obtain the
optimal state feedback control and optimal value for the stochastic LQ problem
explicitly. Finally, closed form efficient portfolio and efficient frontier for
the original mean variance problem are presented.

26
The categories of this paper are: bayes-an
6
The categories of this paper are: astro-ph
37
The categories of this paper are: supr-con
29
The categories of this paper are: funct-an
31
The categories of this paper are: ao-sci
10
The categories of this paper are: q-bio
25
The categories of this paper are: patt-sol
35
The categories of this paper are: mtrl-th
8
The categories of this paper are: hep-ex
27
The categories of this paper are: comp-gas
24
The categories of this paper are: dg-ga
1
The categories of this paper are: cs
12
The categories of this paper are: nucl-th
4
The categories of this paper are: cond-mat
33
The categories of this paper are: plasm-ph
3
The categories of this paper are: physics