Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach

doi:10.1016/j.insmatheco.2007.10.014

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	Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach
	Xie, Shuxiang 2; Li, Zhongfei 1,3; Wang, Shouyang4
刊名	INSURANCE MATHEMATICS & ECONOMICS
	2008-06-01
卷号	42 期号:3 页码:943-953
关键词	portfolio selection asset-liability management continuous-time mean-variance model stochastic linear-quadratic control
ISSN号	0167-6687
DOI	10.1016/j.insmatheco.2007.10.014
英文摘要	In this paper we formulate a continuous-time mean-variance portfolio selection model with multiple risky assets and one liability in an incomplete market. The risky assets' prices are governed by geometric Brownian motions while the liability evolves according. to a Brownian motion with drift. The correlations between the risky assets and the liability are considered. The objective is to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. We derive explicitly the optimal dynamic strategy and the mean-variance efficient frontier in closed forms by using the general stochastic linear-quadratic (LQ) control technique. Several special cases are discussed and a numerical example is also given. (c) 2007 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000257002100009
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/6490]
专题	系统科学研究所
通讯作者	Li, Zhongfei
作者单位	1.Sun Yat Sen Univ, Lingnan Univ Coll, Dept Risk Management & Insurance, Guangzhou 510275, PR, Peoples R China 2.Sun Yat Sen Univ, Sch Math & Computat Sci, Dept Probabil & Stat, Guangzhou 510275, PR, Peoples R China 3.Univ Waterloo, Inst Quantitat Finance & Insurance, Waterloo, ON N2L 3G1, Canada 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, PR, Peoples R China
推荐引用方式 GB/T 7714	Xie, Shuxiang,Li, Zhongfei,Wang, Shouyang. Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach[J]. INSURANCE MATHEMATICS & ECONOMICS,2008,42(3):943-953.
APA	Xie, Shuxiang,Li, Zhongfei,&Wang, Shouyang.(2008).Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach.INSURANCE MATHEMATICS & ECONOMICS,42(3),943-953.
MLA	Xie, Shuxiang,et al."Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach".INSURANCE MATHEMATICS & ECONOMICS 42.3(2008):943-953.