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...
| Main Author: | |
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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 |
| _version_ | 1848743309523025920 |
|---|---|
| author | Zhang, Yan |
| author_facet | Zhang, Yan |
| author_sort | Zhang, Yan |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 model parameters on the optimal investment strategy, the efficient frontier and the optimal value function based on the theoretical results obtained in this research work. |
| first_indexed | 2025-11-14T05:43:31Z |
| format | Thesis |
| id | curtin-20.500.11937-192 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T05:43:31Z |
| publishDate | 2015 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-1922017-02-20T06:42:40Z Optimal asset liability management with constraints: theory and application Zhang, Yan 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 model parameters on the optimal investment strategy, the efficient frontier and the optimal value function based on the theoretical results obtained in this research work. 2015 Thesis http://hdl.handle.net/20.500.11937/192 en Curtin University fulltext |
| spellingShingle | Zhang, Yan Optimal asset liability management with constraints: theory and application |
| title | Optimal asset liability management with constraints: theory and application |
| title_full | Optimal asset liability management with constraints: theory and application |
| title_fullStr | Optimal asset liability management with constraints: theory and application |
| title_full_unstemmed | Optimal asset liability management with constraints: theory and application |
| title_short | Optimal asset liability management with constraints: theory and application |
| title_sort | optimal asset liability management with constraints: theory and application |
| url | http://hdl.handle.net/20.500.11937/192 |