Mean-variance asset-liability management under constant elasticity of variance process

被引：36

作者：

Zhang, Miao ^{[1
]}

Chen, Ping ^{[1
]}

机构：

[1] Univ Melbourne, Ctr Actuarial Studies, Dept Econ, Melbourne, Vic 3010, Australia

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2016年 / 70卷

关键词：

Mean-variance; Asset-liability management; Constant elasticity of variance; Multiple assets; BSDE; DYNAMIC PORTFOLIO SELECTION; CONTINUOUS-TIME MODEL; RANDOM PARAMETERS; RISKY ASSETS; OPTIMIZATION; FRAMEWORK; STRATEGY; OPTIONS; MARKET;

D O I：

10.1016/j.insmatheco.2016.05.019

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates a mean variance asset liability management (ALM) problem under the constant elasticity of variance (CEV) process. The company can invest in n + 1 assets: one risk-free bond and n risky stocks. The uncontrollable liability process is modelled by a geometric Brownian motion. The feasibility is studied and potential optimal portfolio is proven to be admissible. We derive the efficient frontier and efficient feedback portfolio in terms of the solutions of two backward stochastic differential equations (BSDEs), which do not admit analytical solutions in general. The closed form solutions are obtained under some special cases. Applying the Monte Carlo simulation, we provide several numerical examples to demonstrate how the efficient frontier is influenced by the relevant parameters. Crown Copyright (C) 2016 Published by Elsevier B.V. All rights reserved.

引用

页码：11 / 18

页数：8

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