Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach
文献类型：期刊论文
| 作者 | Xie, Shuxiang2; Li, Zhongfei1,3; Wang, Shouyang4
|
| 刊名 | INSURANCE MATHEMATICS & ECONOMICS
 |
| 出版日期 | 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 |
| WOS记录号 | WOS:000257002100009 |
| 出版者 | ELSEVIER SCIENCE BV |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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