摘要
This paper studies the multi-period mean-variance(MV)asset-liability portfolio management problem(MVAL),in which the portfolio is constructed by risky assets and liability.It is worth mentioning that the impact of general correlation is considered,i.e.,the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods.Such a model with a general correlation structure extends the classical multiperiod MVAL models with assumption of independent returns.The authors derive the explicit portfolio policy and the MV efficient frontier for this problem.Moreover,a numerical example is presented to illustrate the efficiency of the proposed solution scheme.
基金
partially supported by the National Natural Science Foundation of China under Grant Nos.72201067,12201129,and 71973028
the Natural Science Foundation of Guangdong Province under Grant No.2022A1515010839
the Project of Science and Technology of Guangzhou under Grant No.202102020273
the Opening Project of Guangdong Province Key Laboratory of Computational Science at Sun Yat-sen University under Grant No.2021004。