Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching
Author
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-15
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper considers a continuous-time mean-variance asset-liability management problem with incompletely observable information.
An investor can only observe the prices of the asset and liability and the dynamics of the unobservable states of the underlying financial market is described by a hidden Markovian chain.
The price of the risky asset is assumed to be governed by a hidden Markovian regime switching geometric Brownian motion and the liability is assumed to follow a hidden Markovian regime switching Brownian motion with drift, respectively.
The appreciation rates of the risky asset and the liability are modulated by the hidden Markovian chain.
By using the separation principle, the filtering-estimation problem and the mean-variance asset-liability management problem are discussed.
The explicit expressions for the optimal asset-liability management strategy and the mean-variance efficient frontier are determined by using the stochastic maximum principle.
American Psychological Association (APA)
Zhang, Ling. 2014. Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-448912
Modern Language Association (MLA)
Zhang, Ling. Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching. Mathematical Problems in Engineering No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-448912
American Medical Association (AMA)
Zhang, Ling. Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-448912
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-448912