scholarly journals Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

2020 ◽  
Vol 16 (2) ◽  
pp. 813-834
Author(s):  
Huai-Nian Zhu ◽  
◽  
Cheng-Ke Zhang ◽  
Zhuo Jin ◽  
Keyword(s):  
Interest Rates ◽  
Continuous Time ◽  
Asset Liability Management ◽  
Stochastic Interest Rates ◽  
Liability Management ◽  
Stochastic Interest ◽  
Mean Variance

scholarly journals A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management

2015 ◽  
Vol 2015 ◽  
pp. 1-16 ◽  
Author(s):  
Hui-qiang Ma ◽  
Meng Wu ◽  
Nan-jing Huang
Keyword(s):  
Continuous Time ◽  
Efficient Frontier ◽  
Random Parameter ◽  
Management Problem ◽  
Random Parameters ◽  
Asset Liability Management ◽  
Linear Quadratic ◽  
Liability Management ◽  
The Mean ◽  
Mean Variance

We consider a continuous-time mean-variance asset-liability management problem in a market with random market parameters; that is, interest rate, appreciation rates, and volatility rates are considered to be stochastic processes. By using the theories of stochastic linear-quadratic (LQ) optimal control and backward stochastic differential equations (BSDEs), we tackle this problem and derive optimal investment strategies as well as the mean-variance efficient frontier analytically in terms of the solution of BSDEs. We find that the efficient frontier is still a parabola in a market with random parameters. Comparing with the existing results, we also find that the liability does not affect the feasibility of the mean-variance portfolio selection problem. However, in an incomplete market with random parameters, the liability can not be fully hedged.

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.

Sign in / Sign up

Export Citation Format

Share Document