摘要
Thispaperstudiesadynamicmean-varianceportfolioselectionproblemwithrandomliabilityintheaffineinterestrateenvironment,wherethefinancialmarketconsistsofthreeassets:onerisk-freeasset,oneriskyassetandonezero-couponbond.AssumethatshortrateisdrivenbyaffineinterestratemodelandliabilityprocessisdescribedbythedriftedBrownianmotion,inaddition,stockpricedynamicsisaffectedbyinterestratedynamics.Theinvestorsexpecttolookforanoptimalstrategytominimizethevarianceoftheterminalsurplusforagivenexpectedterminalsurplus.TheefficientstrategyandtheefficientfrontierareexplicitlyobtainedbyapplyingdynamicprogrammingprincipleandLagrangedualitytheorem.Anumericalexampleisgiventoillustrateourresultsandsomeeconomicimplicationsareanalyzed.
出版日期
2017年03月13日（中国期刊网平台首次上网日期，不代表论文的发表时间）
