Optimal asset liability management with constraints: theory and application

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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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Bibliographic Details
Main Author:	Zhang, Yan
Format:	Thesis
Language:	English
Published:	Curtin University 2015
Online Access:	http://hdl.handle.net/20.500.11937/192

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