Optimal asset liability management with constraints: theory and application

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.