Optimal dynamic mean-variance asset-liability management under the Heston model

Advances in Difference Equations

Zujin Zhang¹  Xiangying Zhou¹  Jian Pan² 

[1] College of Mathematics and Computer Science, Gannan Normal University;Key Laboratory of Jiangxi Province for Numerical Simulation and Emulation Techniques;

关键词: Continuous-time mean-variance;    Asset-liability management;    Heston model;    Efficient investment strategy;    Efficient frontier;   

DOI  :  10.1186/s13662-018-1677-9

来源: DOAJ

【 摘 要 】

Abstract This paper studies a continuous-time mean-variance asset-liability management problem under the Heston model. Specifically, an asset-liability manager is allowed to invest in a risk-free asset and a risky asset whose price process is governed by the Heston model. By applying the Lagrange duality theorem and stochastic control theory, we derive the closed-form expressions of the efficient investment strategy and the efficient frontier. Moreover, we provide numerical experiments to analyze the sensitivity of the efficient frontier with respect to the relevant parameters in the Heston model.

【 授权许可】

Unknown