![](/images/graphics-bg.png)
Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
Joint Authors
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-03-23
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’ return (or a sharp fall).
Applying the stochastic optimal control technique, a Hamilton–Jacobi–Bellman (HJB) equation is derived.
Then, the effective investment strategy and the minimum variance are obtained explicitly by using the Lagrange duality method.
Moreover, some numerical examples are provided to verify the effectiveness of our results.
American Psychological Association (APA)
Sheng, De-Lei& Shen, Peilong. 2020. Portfolio Optimization with Asset-Liability Ratio Regulation Constraints. Complexity،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1139904
Modern Language Association (MLA)
Sheng, De-Lei& Shen, Peilong. Portfolio Optimization with Asset-Liability Ratio Regulation Constraints. Complexity No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1139904
American Medical Association (AMA)
Sheng, De-Lei& Shen, Peilong. Portfolio Optimization with Asset-Liability Ratio Regulation Constraints. Complexity. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1139904
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1139904