A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management
Joint Authors
Wu, Meng
Huang, Nan-Jing
Ma, Hui-qiang
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-07
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
We consider a continuous-time mean-variance asset-liability management problem in a market with random market parameters; that is, interest rate, appreciation rates, and volatility rates are considered to be stochastic processes.
By using the theories of stochastic linear-quadratic (LQ) optimal control and backward stochastic differential equations (BSDEs), we tackle this problem and derive optimal investment strategies as well as the mean-variance efficient frontier analytically in terms of the solution of BSDEs.
We find that the efficient frontier is still a parabola in a market with random parameters.
Comparing with the existing results, we also find that the liability does not affect the feasibility of the mean-variance portfolio selection problem.
However, in an incomplete market with random parameters, the liability can not be fully hedged.
American Psychological Association (APA)
Ma, Hui-qiang& Wu, Meng& Huang, Nan-Jing. 2015. A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-16.
https://search.emarefa.net/detail/BIM-1074470
Modern Language Association (MLA)
Ma, Hui-qiang…[et al.]. A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management. Mathematical Problems in Engineering No. 2015 (2015), pp.1-16.
https://search.emarefa.net/detail/BIM-1074470
American Medical Association (AMA)
Ma, Hui-qiang& Wu, Meng& Huang, Nan-Jing. A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-16.
https://search.emarefa.net/detail/BIM-1074470
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074470