Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

作者：Zeng, Yan; Li, Zhongfei^*

来源：Journal of Systems Science and Complexity, 2011, 24(2): 317-327.

DOI：10.1007/s11424-011-9105-1

• Asset-liability management
• benchmark and mean-variance models
• duality theory
• jump diffusion market
• Hamilton-Jacobi-Bellman equation

This paper investigates continuous-time asset-liability management under benchmark and mean-variance criteria in a jump diffusion market. Specifically, the authors consider one risk-free asset, one risky asset and one liability, where the risky asset's price is governed by an exponential L,vy process, the liability evolves according to a L,vy process, and there exists a correlation between the risky asset and the liability. Two models are established. One is the benchmark model and the other is the mean-variance model. The benchmark model is solved by employing the stochastic dynamic programming and its results are extended to the mean-variance model by adopting the duality theory. Closed-form solutions of the two models are derived.

• 出版日期2011-4
• 单位中山大学