资产负债管理下时间一致的投资策略选择

Time-consistent Investment Strategy Selection under Asset and Liability Management

【目的】在风险资产的价格满足跳-扩散过程且负债满足扩散过程时,研究目标是求得时间一致的最优投资策略,最大化终止盈余的均值,同时最小化终止盈余的方差。【方法】应用推广的Hamilton-Jacobi-Bellman动态规划的方法研究了该问题。【结果】得到了时间一致最优投资策略和值函数的显式解。【结论】所得结果推广了时间一致策略选择问题中已有文献中的相应结论。

[Purposes]When the risky asset＇price is governed by ajump-diffusion process while the liability evolves according to a Brownian motion with drift,the objective is to choose an optimal time-consistent investment strategy so as to maximize the expected terminal surplus while minimizing the variance of the terminal surplus.[Methods]The problem is investigated by using the extended Hamilton-Jacobi-Bellman dynamic programming approach.[Findings]Closed-form solutions for the optimal investment strategy and the corresponding value functions are obtained.[Conclusions]The obtained results extend the corresponding conclusions in references on time consistent strategy selection problems.