MULTIPERIOD PORTFOLIO OPTIMIZATION FOR ASSET-LIABILITY MANAGEMENT WITH QUADRATIC TRANSACTION COSTS

被引：6

作者：

Zhou, Zhongbao ^{[1
]}

Zeng, Ximei ^{[1
]}

Xiao, Helu ^{[2
]}

Ren, Tiantian ^{[1
]}

Liu, Wenbin ^{[3
]}

机构：

[1] Hunan Univ, Sch Business Adm, Changsha 410082, Hunan, Peoples R China

[2] Hunan Normal Univ, Business Sch, Changsha 410081, Hunan, Peoples R China

[3] Univ Kent, Business Sch, Canterbury CT2 7PE, Kent, England

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2019年 / 15卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Asset-liability management; multiperiod portfolio optimization; quadratic transaction costs; pre-commitment strategies; time-consistent strategies; SELECTION; MODEL;

D O I：

10.3934/jimo.2018106

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper investigates the multiperiod asset-liability management problem with quadratic transaction costs. Under the mean-variance criteria, we construct tractability models with/without the riskless asset and obtain the pre-commitment and time-consistent investment strategies through the application of embedding scheme and backward induction approach, respectively. In addition, some conclusions in the existing literatures can be regarded as the degenerated cases under our setting. Finally, the numerical simulations are given to show the difference of frontiers derived by different strategies. Also, some interesting findings on the impact of quadratic transaction cost parameters on efficient frontiers are discussed.

引用

页码：1493 / 1515

页数：23

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