Optimal dynamic mean-variance asset-liability management under the Heston model

被引：0
作者：
Jian Pan
Zujin Zhang
Xiangying Zhou
机构：
[1] Key Laboratory of Jiangxi Province for Numerical Simulation and Emulation Techniques,College of Mathematics and Computer Science
[2] Gannan Normal University,undefined
来源：
Advances in Difference Equations | / 2018卷
关键词：
Continuous-time mean-variance; Asset-liability management; Heston model; Efficient investment strategy; Efficient frontier;
D O I：
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学科分类号：
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.
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