In this thesis, Mean-Variance Asset-Liability management is studied ina multi-period setting. An investor aims at nding an optimal investmentstrategy in order to maximise the mean-variance objective. The prices ofassets and liabilities are formulated as geometric Brownian motions and wefurther extend them to exponential Levy process. By the Bellman principle,the explicit optimal solution is obtained under backward induction.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:695793 |
| Date | January 2016 |
| Creators | Li, Yun |
| Contributors | Sollich, Peter Kurt ; Kuehn, Reimer |
| Publisher | King's College London (University of London) |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | https://kclpure.kcl.ac.uk/portal/en/theses/optimal-assetliability-management(a5f7f79c-8c2c-499c-bc23-86e6ad4d609a).html |
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