Section: ArticlesTitle: Continuous-time mean-variance asset-liability management with endogenous liabilities / Haixiang Yao, Yongzeng Lai, Young LiAuthor: Yao, HaixiangNotes: Sumario: This paper investigates a continuous-time meanvariance assetliability management problem with endogenous liabilities in a more general market where all the assets can be risky. Different from exogenous liabilities that cannot be controlled, the endogenous liabilities can be controlled by various financial instruments and investors decisions. For example, a company can raise fund by issuing different kinds of bonds. Types and quantities of the bonds are controlled by the company itself. Investors optimize allocation not only for their assets, but also for their liabilities under our model. This makes the analysis of the problem more challenging than in the setting based on exogenous liabilities. In this paper, we first prove the existence and uniqueness of the solution to the associated Riccati-type equation by using the KhatriRao product technique and the relevant stochastic control theory; we then derive closed form expressions of the efficient strategy and the meanvariance efficient frontier by using the Lagrange multiplier method and the HamiltonJacobiBellman equation approach, and we next discuss two degenerated cases; finally, we present some numerical examples to illustrate the results obtained in this paper.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/01/2013 Volumen 52 Número 1 - enero 2013 Other categories: 6Rights: In Copyright (InC)Referencias externas:
