Dynamic mean-variance portfolio selection with exogenous liability and borrowing constraint

被引：0
|
作者：
Chen, Bin [1 ]
Ma, Hui-qiang [1 ]
Huang, Nan-jing [1 ]
机构：
[1] Sichuan Univ, Dept Math, Chengdu 610064, Sichuan, Peoples R China
来源：
2013 32ND CHINESE CONTROL CONFERENCE (CCC) | 2013年
关键词：
Asset and liability management; Mean-variance portfolio selection; Borrowing rate; Efficient frontier; HJB equation; Stochastic PLQ control; OPTIMIZATION; CONSUMPTION; FRAMEWORK; MODEL;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we consider a dynamic mean-variance model for asset and liability management with borrowing constraint. The purpose of this paper is to derive an optimal portfolio strategy and an efficient frontier. Since the problem can be formulated as a stochastic piecewise linear-quadratic (PLQ) control problem, we employ the Hamilton-Jacobi-Bellman (HJB) equation and the Lagrangian duality theory to solve this problem. A numerical example is given to demonstrate our results and show the impact of borrowing constraint on the efficient frontier.
引用
收藏
页码：8315 / 8320
页数：6
相关论文
共 50 条
  • [1] Dynamic mean-variance portfolio selection with exogenous liability and borrowing constraint
    Chen, Bin
    Ma, Hui-Qiang
    Huang, Nan-Jing
    [J]. Chinese Control Conference, CCC, 2013, : 8315 - 8320
  • [2] Dynamic mean-variance portfolio selection with borrowing constraint
    Fu, Chenpeng
    Lari-Lavassani, Ali
    Li, Xun
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 200 (01) : 312 - 319
  • [3] Dynamic mean-variance portfolio selection with liability and stochastic interest rate
    Chang, Hao
    [J]. ECONOMIC MODELLING, 2015, 51 : 172 - 182
  • [4] ON MEAN-VARIANCE PORTFOLIO SELECTION
    SCHNABEL, JA
    [J]. MANAGERIAL AND DECISION ECONOMICS, 1984, 5 (01) : 3 - 6
  • [5] Dynamic Mean-Variance Model with Borrowing Constraint under the Constant Elasticity of Variance Process
    Chang, Hao
    Rong, Xi-min
    [J]. JOURNAL OF APPLIED MATHEMATICS, 2013,
  • [6] OPTIMAL MEAN-VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT
    Xu, Jingsi
    [J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2020, 23 (08)
  • [7] Optimal mean-variance portfolio selection
    Pedersen, Jesper Lund
    Peskir, Goran
    [J]. MATHEMATICS AND FINANCIAL ECONOMICS, 2017, 11 (02) : 137 - 160
  • [8] Behavioral mean-variance portfolio selection
    Bi, Junna
    Jin, Hanging
    Meng, Qingbin
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 271 (02) : 644 - 663
  • [9] Dynamic mean-variance portfolio optimization with noshorting constraint and correlated returns
    Wei, Chong
    Gao, Jianjun
    [J]. 2015 27TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC), 2015, : 1068 - 1073
  • [10] Optimal mean-variance portfolio selection
    Jesper Lund Pedersen
    Goran Peskir
    [J]. Mathematics and Financial Economics, 2017, 11 : 137 - 160
12345