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Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market
Yang Yu Wu Yonghong Wiwatanapataphee Benchawan 《Financial Markets and Portfolio Management》2020,34(4):401-427
Financial Markets and Portfolio Management - This paper investigates the time-consistent optimal control of a mean–variance asset-liability management problem in a regime-switching... 相似文献
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Yan Zhang Shuang Li Benchawan Wiwatanapataphee 《North American actuarial journal : NAAJ》2017,21(1):87-106
This article investigates the asset liability management problem with state-dependent risk aversion under the mean-variance criterion. The investor allocates the wealth among multiple assets including a risk-free asset and multiple risky assets governed by a system of geometric Brownian motion stochastic differential equations, and the investor faces the risk of paying uncontrollable random liabilities. The state-dependent risk aversion is taken into account in our model, linking the risk aversion to the current wealth held by the investor. An extended Hamilton-Jacobi-Bellman system is established for the optimization of asset liability management, and by solving the extended Hamilton-Jacobi-Bellman system, the analytical closed-form expressions for the time-inconsistent optimal investment strategies and the optimal value function are derived. Finally, numerical examples are presented to illustrate our results. 相似文献
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