Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
© 2017, Copyright © Society of Actuaries.This article investigates the asset liability management problem with state-dependent risk aversion under the mean-variance criterion. The investor allocates the wealth among multiple assets including a risk-free asset and multiple risky assets governed by a...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Society of Actuaries
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/52312 |