Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model

2021 ◽  
pp. 1-23
Author(s):  
Xiaowei Chen ◽  
Fuzhe Huang ◽  
Xiufang Li
Keyword(s):  
Continuous Time ◽  
Regime Switching ◽  
Asset Liability Management ◽  
Continuous Time Model ◽  
Time Model ◽  
Liability Management

scholarly journals Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching

2014 ◽  
Vol 2014 ◽  
pp. 1-9 ◽  
Author(s):  
Ling Zhang
Keyword(s):  
Brownian Motion ◽  
Continuous Time ◽  
Regime Switching ◽  
Management Problem ◽  
Asset Liability Management ◽  
Liability Management ◽  
The Mean ◽  
Markovian Regime Switching ◽  
Mean Variance ◽  
Markovian Regime

This paper considers a continuous-time mean-variance asset-liability management problem with incompletely observable information. An investor can only observe the prices of the asset and liability and the dynamics of the unobservable states of the underlying financial market is described by a hidden Markovian chain. The price of the risky asset is assumed to be governed by a hidden Markovian regime switching geometric Brownian motion and the liability is assumed to follow a hidden Markovian regime switching Brownian motion with drift, respectively. The appreciation rates of the risky asset and the liability are modulated by the hidden Markovian chain. By using the separation principle, the filtering-estimation problem and the mean-variance asset-liability management problem are discussed. The explicit expressions for the optimal asset-liability management strategy and the mean-variance efficient frontier are determined by using the stochastic maximum principle.

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