Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility

Yan, Tingjin; Wong, Hoi Ying

doi:10.2139/ssrn.3246173

Cited by 1 publication

(1 citation statement)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The case of cointegration clearly violates such a regularity condition. In fact, removing the boundedness condition is not obvious, as shown in the case of stochastic volatility by Zhou and Li [29]. It is, however, even more challenging with the ALM problem, because the stochastic liability is typically assumed not to be controllable for infeasible debt financing.…”

Section: Introductionmentioning

confidence: 99%

Mean–variance Equilibrium Asset-Liability Management Strategy With Cointegrated Assets

Chiu

2020

ANZIAM J.

View full text Add to dashboard Cite

This paper investigates asset-liability management problems in a continuous-time economy. When the financial market consists of cointegrated risky assets, institutional investors attempt to make profit from the cointegration feature on the one hand, while on the other hand they need to maintain a stable surplus level, that is, the company’s wealth less its liability. Challenges occur when the liability is random and cannot be fully financed or hedged through the financial market. For mean–variance investors, an additional concern is the rational time-consistency issue, which ensures that a decision made in the future will not be restricted by the current surplus level. By putting all these factors together, this paper derives a closed-form feedback equilibrium control for time-consistent mean–variance asset-liability management problems with cointegrated risky assets. The solution is built upon the Hamilton–Jacobi–Bellman framework addressing time inconsistency.

show abstract

Section: Introductionmentioning

confidence: 99%

Mean–variance Equilibrium Asset-Liability Management Strategy With Cointegrated Assets

Chiu

2020

ANZIAM J.

View full text Add to dashboard Cite

show abstract

Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility

Cited by 1 publication

References 25 publications

Mean–variance Equilibrium Asset-Liability Management Strategy With Cointegrated Assets

Mean–variance Equilibrium Asset-Liability Management Strategy With Cointegrated Assets

Contact Info

Product

Resources

About