Text

Mean-variance Equilibrium Asset-liability Management Strategy with Cointegrated Assets

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.

Ketersediaan

Informasi Detail

Judul Seri

THE ANZIAM JOURNAL; Vol.62 No.2 April 2020

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 209 - 234

Bahasa

English

ISBN/ISSN

-

Klasifikasi

-

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

TIME INCONSISTENCY
ASSET-LIABILITY MANAGEMENT
COINTEGRATION
MEAN–VARIANCE

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Mei Choi Chiu

Versi lain/terkait

Lampiran Berkas

Komentar