| 引用本文: | 姚海祥,马庆华,姜灵敏.带内生负债的不确定终止时间多期均值–方差资产–负债管理[J].控制理论与应用,2013,30(2):249~253.[点击复制] |
| YAO Hai-xiang,MA Qing-hua,JIANG Ling-min.Multi-period mean-variance asset-liability management with endogenous liabilities and uncertain exit time[J].Control Theory and Technology,2013,30(2):249~253.[点击复制] |
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| 带内生负债的不确定终止时间多期均值–方差资产–负债管理 |
| Multi-period mean-variance asset-liability management with endogenous liabilities and uncertain exit time |
| 摘要点击 3048 全文点击 1358 投稿时间：2012-05-18 修订日期：2012-08-15 |
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| DOI编号 10.7641/CTA.2013.20583 |
| 2013,30(2):249-253 |
| 中文关键词 内生负债 不确定终止时间 多阶段均值–方差模型 动态规划 资产–负债管理 |
| 英文关键词 endogenous liabilities uncertain exit time multi-period mean-variance model dynamic programming asset-liability management |
| 基金项目 国家自然科学基金资助项目(71003110, 71271061); 广东省自然科学基金资助项目(S2011010005503); 教育部人文社会科学研究基金青年资助项目(10YJC790339); 广东省高等院校(学科建设专项资金)科技创新资助项目(2012KJCX0050); 广东省科技计划资助项目(2011B040400015). |
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| 中文摘要 |
| 本文研究了带内生负债的不确定退出时间多期均值–方差资产–负债管理问题. 和外生负债不可控所不同的是, 内生负债可通过各种金融工具和投资者(机构)的决策来调控. 在本文的模型中, 投资者(机构)在考虑资产最优配置的同时, 还需要考虑负债的最优配置. 本文采用Lagrange对偶理论、矩阵Hadamard乘积技术和动态规划方法对模型进行分析性求解, 得到了模型的有效策略及有效边界的显式表达式. |
| 英文摘要 |
| This paper investigates a multi-period mean-variance asset-liability management problem with endogenous liabilities and uncertain exit time. Being different from exogenous liability that cannot be controlled, endogenous liabilities can be controlled by various financial instruments and investors (institutions)’s decisions making. In our model, investors (institutions) optimize allocation not only for their assets, but also for their liabilities. Firstly, by using the Lagrange duality theory, matrix Hadamard product technique and dynamic programming approach, we solve the model analytically. Then, explicit expressions for the efficient strategy and the mean-variance efficient frontier are derived. |