Mean-variance asset liability management with state-dependent risk aversion

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      <subfield code="a">Mean-variance asset liability management with state-dependent risk aversion</subfield>
      <subfield code="c">Yan Zhang... [et al.]</subfield>
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      <subfield code="a">This article investigates the asset liability management problem with state-dependent risk aversion under the mean-variance criterion.
The investor allocates the wealth among multiple assets including a risk-free asset and multiple risky assets governed by a system
of geometric Brownian motion stochastic differential equations, and the investor faces the risk of paying uncontrollable random liabilities.
The state-dependent risk aversion is taken into account in our model, linking the risk aversion to the current wealth held by the
investor. An extended Hamilton-Jacobi-Bellman system is established for the optimization of asset liability management, and by solving
the extended Hamilton-Jacobi-Bellman system, the analytical closed-form expressions for the time-inconsistent optimal investment
strategies and the optimal value function are derived. Finally, numerical examples are presented to illustrate our results.</subfield>
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      <subfield code="0">MAPA20080588953</subfield>
      <subfield code="a">Análisis de riesgos</subfield>
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      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
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      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">01/03/2017 Tomo 21 Número 1 - 2017 , p. 87-106</subfield>
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