A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management

• DOI: 10.1155/2015/687428
• Publication Date: 2015-10-08T00:51:56Z
• Authors: Hui-qiang Ma; Meng Wu; Nan-jing Huang
• Keywords: Efficient frontier; Stochastic control

We consider a continuous-time mean-variance asset-liability management problem in market with random parameters; that is, interest rate, appreciation rates, and volatility rates are considered to be stochastic processes. By using the theories of linear-quadratic (LQ) optimal control backward differential equations (BSDEs), we tackle this derive investment strategies as well efficient frontier analytically terms solution BSDEs. find is still parabola parameters. Comparing existing results, also liability does not affect feasibility portfolio selection problem. However, an incomplete parameters, can fully hedged.