Mean-Variance Asset Liability Management with State-Dependent Risk Aversion

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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...

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Bibliographic Details
Main Authors:	Zhang, Y., Wu, Yong Hong, Li, S., Wiwatanapataphee, Benchawan
Format:	Journal Article
Published:	Society of Actuaries 2017
Online Access:	http://hdl.handle.net/20.500.11937/52312

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