This paper studies a dynamic mean-variance portfolio selection problem with random liability in the affine interest rate environment, where the financial market consists of three assets: one risk-free asset, one risky...This paper studies a dynamic mean-variance portfolio selection problem with random liability in the affine interest rate environment, where the financial market consists of three assets: one risk-free asset, one risky asset and one zero-coupon bond. Assume that short rate is driven by affine interest rate model and liability process is described by the drifted Brownian motion, in addition, stock price dynamics is affected by interest rate dynamics. The investors expect to look for an optimal strategy to minimize the variance of the terminal surplus for a given expected terminal surplus. The efficient strategy and the efficient frontier are explicitly obtained by applying dynamic programming principle and Lagrange duality theorem. A numerical example is given to illustrate our results and some economic implications are analyzed.展开更多
基金Supported by National Natural Science Foundation of China(71671122)China Postdoctoral Science Foundation Funded Project(2014M560185,2016T90203)+1 种基金Humanities and Social Science Research Fund of Ministry of Education of China(11YJC790006,16YJA790004)Tianjin Natural Science Foundation of China(15JCQNJC04000)
文摘This paper studies a dynamic mean-variance portfolio selection problem with random liability in the affine interest rate environment, where the financial market consists of three assets: one risk-free asset, one risky asset and one zero-coupon bond. Assume that short rate is driven by affine interest rate model and liability process is described by the drifted Brownian motion, in addition, stock price dynamics is affected by interest rate dynamics. The investors expect to look for an optimal strategy to minimize the variance of the terminal surplus for a given expected terminal surplus. The efficient strategy and the efficient frontier are explicitly obtained by applying dynamic programming principle and Lagrange duality theorem. A numerical example is given to illustrate our results and some economic implications are analyzed.
