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    Optimal asset liability management with constraints: theory and application

    228535_Zhang 2015.pdf (2.519Mb)
    Access Status
    Open access
    Authors
    Zhang, Yan
    Date
    2015
    Supervisor
    Prof. Kok Lay Teo
    Prof. Yong Hong Wu
    Dr Lin Qun
    Assoc. Prof. Benchawan Wiwatanapataphee
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/192
    Collection
    • Curtin Theses
    Abstract

    In this thesis, we study the mean-variance asset liability management with constraints, taking into account jump in the price of the risky asset and state-dependent risk aversion. In addition, we numerically investigate the effect of liability, market fluctuation, multiple risky assets and some key model parameters on the optimal investment strategy, the efficient frontier and the optimal value function based on the theoretical results obtained in this research work.

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