Asset and liability management under a continuous-time mean-variance optimization framework

Insurance: Mathematics and Economics

Volumn 39, Issue 3, 2006, Pages 330-355

  Chiu, Mei Choi ^a   Li, Duan ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Asset liability management; Efficient frontier; Linear quadratic control; Portfolio selection

Indexed keywords

EID: 33750292076     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.03.006     Document Type: Article

References (13)

1. Bielecki T.R., Jin H., Pliska S.R., and Zhou X.Y. Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Mathematical Finance 15 (2005) 213-244
2. Chen A., Jen C., and Zionts S. The optimal portfolio revision policy. Journal of Business 44 (1971) 51-61
3. Josa-Fombellida R., and Rincon-Zapatero J.P. Optimal risk management in defined benefit stochastic pension funds. Insurance: Mathematics and Economics 34 (2004) 489-503
4. Kell A., and Müller H. Efficient portfolios in the asset liability context. Astin Bulletin 25 (1995) 33-48
5. Li D., Chan T.F., and Ng W.L. Safety-first dynamic portfolio selection. Dynamics of Continuous, Discrete and Impulsive Systems 4 (1998) 585-600
6. Li D., and Ng W.L. Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Mathematical Finance 10 (2000) 387-406
7. Leippold M., Trojani F., and Vanini P. A geometric approach to multiperiod mean variance optimization of assets and liabilities. Journal of Economic Dynamics & Control 28 (2004) 1079-1113
8. Markowitz H.M. The optimization of a quadratic function subject to linear constraints. Naval Research Logistics Quarterly 3 (1956) 111-133
9. Norberg R. Ruin problems with assets and liabilities of diffusion type. Journal of Stochastic Processes and their Applications 81 (1999) 255-269
10. Sharpe W.F., and Tint L.G. Liabilities-a new approach. Journal of Portfolio Management 16 (1990) 5-10
11. Yong J., and Zhou X.Y. Stochastic Controls: Hamiltonian Systems and HJB Equations (1999), Springer-Verlag
12. Zhou X.Y., and Li D. Continuous-time mean-variance portfolio selection: A stochastic LQ framework. Applied Mathematics and Optimization 42 (2000) 19-33
13. Zhu S.S., Li D., and Wang S.Y. Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation. IEEE Transactions on Automatic Control 49 (2004) 447-457