文章基本信息

标题：Optimal dynamic mean-variance asset-liability management under the Heston model
本地全文：下载
作者：Jian Pan ; Zujin Zhang ; Xiangying Zhou 等
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2018
卷号：2018
期号：1
页码：258
DOI：10.1186/s13662-018-1677-9
语种：English
出版社：Hindawi Publishing Corporation
摘要：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.