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

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

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.