均值-方差准则下具有利率和通胀双重风险的资产负债管理问题

在均值-方差准则下研究具有利率风险和通胀风险的资产负债管理问题.首先,利用Lagrange乘子技术将这个资产负债管理问题转化为一个标准的均值-方差有效问题.然后,利用Hamilton-Jacobi-Bellman方法、偏微分方程方法和Lagrange对偶定理得到原问题有效的投资策略和有效前沿的解析表达式.最后,在解析表达式的基础上,通过数值算例分析了模型主要参数对投资策略和有效前沿的影响.

Asset Liability Management with Stochastic Interest Rates and Inflation Risks Based on Mean-Variance Criteria

In this paper,we consider an asset-liability management problem with the risks of interest rate and inflation based on the mean-variance criteria.First,by using the Lagrange multiplier technique,we first transform this asset-liability management problem into a standard mean-variance efficiency problem.Then,we obtain the closed-form expressions of the efficient investment strategy and the efficient frontier by applying the Hamilton-Jacobi-Bellman method,partial differential equation method and Lagrange dual principle.Finally,we provide numerical examples to analyze the influences of the main parameters on the efficient investment strategy and the efficient frontier.