收益序列相关的动态资产-负债管理

张玲,李仲飞

系统科学与数学 ›› 2012, Vol. 32 ›› Issue (3) : 297-309.

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PDF(398 KB)
系统科学与数学 ›› 2012, Vol. 32 ›› Issue (3) : 297-309. DOI: 10.12341/jssms11849
论文

收益序列相关的动态资产-负债管理

    张玲1,李仲飞2
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MULTIPERIOD ASSET-LIABILITY MANAGEMENT WITH SERIALLY CORRELATED YIELDS

    ZHANG Ling1, LI Zhongfei2
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摘要

以条件期望体现风险资产收益的相关性, 建立了资产收益序列相关时资产-负债管理的动态均值-方差模型. 采用Li和Ng (2000)的嵌入法, 构造了一个具有二次效用函数的辅助问题, 利用动态规划方法及原问题与辅助问题最优策略之间的关系, 得到了原问题的最优投资组合策略和有效边界.

Abstract

In this paper we study an asset-liability management problem with serially correlated yields of risky assets under mean-variance criterion. By virtue of the embedding method of Li and Ng (2000), we embed the asset-liability management problem into a separable quadratic optimization problem with serially correlated returns. Then, adopting the dynamic programming approach and using the relation between the optimal strategy of the original problem and that of an auxiliary problem, we derive the optimal strategy and the efficient frontier of the asset-liability management problem with serial correlated yields.

关键词

收益序列相关 / 资产-负债管理 / 均值-方差模型 / 动态规划.

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张玲,李仲飞. 收益序列相关的动态资产-负债管理. 系统科学与数学, 2012, 32(3): 297-309. https://doi.org/10.12341/jssms11849
ZHANG Ling, LI Zhongfei. MULTIPERIOD ASSET-LIABILITY MANAGEMENT WITH SERIALLY CORRELATED YIELDS. Journal of Systems Science and Mathematical Sciences, 2012, 32(3): 297-309 https://doi.org/10.12341/jssms11849
中图分类号: 91B28    91B62    90C39   
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