Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems
Joint Authors
Wu, Meng
Huang, Nan-Jing
Ma, Hui-qiang
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-10-09
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
This paper studies the optimal time consistent investment strategies in multiperiod asset-liability management problems under mean-variance criterion.
By applying time consistent model of Chen et al.
(2013) and employing dynamic programming technique, we derive two-time consistent policies for asset-liability management problems in a market with and without a riskless asset, respectively.
We show that the presence of liability does affect the optimal strategy.
More specifically, liability leads a parallel shift of optimal time-consistent investment policy.
Moreover, for an arbitrarily risk averse investor (under the variance criterion) with liability, the time-diversification effects could be ignored in a market with a riskless asset; however, it should be considered in a market without any riskless asset.
American Psychological Association (APA)
Ma, Hui-qiang& Wu, Meng& Huang, Nan-Jing. 2013. Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-16.
https://search.emarefa.net/detail/BIM-1010441
Modern Language Association (MLA)
Ma, Hui-qiang…[et al.]. Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems. Mathematical Problems in Engineering No. 2013 (2013), pp.1-16.
https://search.emarefa.net/detail/BIM-1010441
American Medical Association (AMA)
Ma, Hui-qiang& Wu, Meng& Huang, Nan-Jing. Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-16.
https://search.emarefa.net/detail/BIM-1010441
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1010441