The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management

This paper studies the multi-period mean-variance(MV) asset-liability portfolio management problem(MVAL), in which the portfolio is constructed by risky assets and liability. It is worth mentioning that the impact of general correlation is considered, i.e., the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods. Such a model with a general correlation structure extends the classical multiperiod MVAL models with assumption of independent returns. The authors derive the explicit portfolio policy and the MV efficient frontier for this problem. Moreover, a numerical example is presented to illustrate the efficiency of the proposed solution scheme.