Optimal dynamic mean-variance asset-liability management under the Heston model
نویسندگان
چکیده
منابع مشابه
Optimal Mean-variance Robust Hedging under Asset Price Model Misspecification
The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robust trading strategies are constructed for one-dimensional diffusion models with misspecified volatility. 20...
متن کاملAn Optimal Model for Asset Liability Management
This 1)aper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating of the liabilities of the insurance company in general. We then tbrnmlate the ALM process into a stochastic control problem. With this approach, we present a Bel|man-Dreyfus Fundamental type formula for ALM process in terms of the solution of a sys...
متن کاملDynamic stochastic programming for asset-liability management
Multistage stochastic programming in contrast to stochastic control has found wide application in the formulation and solution of nancial problems characterized by a large number of state variables and a generally low n umber of possible decision stages. The literature on the use of multistage recourse modelling to formalize complex portfolio optimization problems dates back to the early sevent...
متن کاملDelegated dynamic portfolio management under mean-variance preferences
We consider a complete financial market with deterministic parameters where an investor and a fund manager have mean-variance preferences. The investor is allowed to borrow with risk-free rate and dynamically allocate his wealth in the fund provided his holdings stay nonnegative. The manager gets proportional fees instantaneously for her management services. We show that the manager can elimina...
متن کاملEfficient Asset Liability Portfolios Using Mean-erc and Mean-variance Analysis
In the context of asset and liability management, we propose a portfolio selection model based on the expected return of the assets and the economic risk capital (ERC) associated to the asset liability portfolio, for short called mean-ERC asset liability portfolio selection. MeanERC efficiency in asset and liability management is closely related and compared to meanvariance efficiency in asset ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2018
ISSN: 1687-1847
DOI: 10.1186/s13662-018-1677-9