Optimal asset liability management with constraints: theory and application
Access Status
Open access
Authors
Date
2015Supervisor
Prof. Kok Lay Teo
Prof. Yong Hong Wu
Dr Lin Qun
Assoc. Prof. Benchawan Wiwatanapataphee
Type
Thesis
Award
PhD
Metadata
Show full item recordSchool
Department of Mathematics and Statistics
Collection
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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