This paper considers an optimal asset-liability management problem with stochastic interest rates and inflation risks under the mean–variance framework. It is assumed that there are $$n+1$$ n + 1 assets available in the financial market, including a risk-free asset, a default-free zero-coupon bond, an inflation-indexed bond and $$n-2$$ n - 2 risky assets (stocks). Moreover, the liability of the investor is assumed to follow a geometric Brownian motion process. By using the stochastic dynamic programming principle and Hamilton–Jacobi–Bellman equation approach, we derive the efficient investment strategy and efficient frontier explicitly. Finally, we provide numerical examples to illustrate the effects of model parameters on the efficient investment strategy and efficient frontier.
Mathematical Methods of Operations Research – Springer Journals
Published: Mar 6, 2017
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.
Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.
All the latest content is available, no embargo periods.
“Hi guys, I cannot tell you how much I love this resource. Incredible. I really believe you've hit the nail on the head with this site in regards to solving the research-purchase issue.”Daniel C.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud
“I must say, @deepdyve is a fabulous solution to the independent researcher's problem of #access to #information.”@deepthiw
“My last article couldn't be possible without the platform @deepdyve that makes journal papers cheaper.”@JoseServera