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  • 简介:Thispaperstudiesadynamicmean-varianceportfolioselectionproblemwithrandomliabilityintheaffineinterestrateenvironment,wherethefinancialmarketconsistsofthreeassets:onerisk-freeasset,oneriskyassetandonezero-couponbond.AssumethatshortrateisdrivenbyaffineinterestratemodelandliabilityprocessisdescribedbythedriftedBrownianmotion,inaddition,stockpricedynamicsisaffectedbyinterestratedynamics.Theinvestorsexpecttolookforanoptimalstrategytominimizethevarianceoftheterminalsurplusforagivenexpectedterminalsurplus.TheefficientstrategyandtheefficientfrontierareexplicitlyobtainedbyapplyingdynamicprogrammingprincipleandLagrangedualitytheorem.Anumericalexampleisgiventoillustrateourresultsandsomeeconomicimplicationsareanalyzed.

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