Optimal asset liability management with constraints: theory and application
In this thesis, we study the mean-variance asset liability management with constraints, taking into account jump in the price of the risky asset and state-dependent risk aversion. In addition, we numerically investigate the effect of liability, market fluctuation, multiple risky assets and some key...
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| Format: | Thesis |
| Language: | English |
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Curtin University
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/192 |