The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market

How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion wit...

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Autores principales:	Shuang Li, Yu Yang, Yanli Zhou, Yonghong Wu, Xiangyu Ge
Formato:	article
Lenguaje:	EN
Publicado:	Hindawi Limited 2021
Materias:	Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/e316d2e472ba4209a2c59e56fd496046
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spelling	oai:doaj.org-article:e316d2e472ba4209a2c59e56fd4960462021-11-29T00:57:10ZThe Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market2314-888810.1155/2021/5476781https://doaj.org/article/e316d2e472ba4209a2c59e56fd4960462021-01-01T00:00:00Zhttp://dx.doi.org/10.1155/2021/5476781https://doaj.org/toc/2314-8888How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion with only risky assets, which has been considered under a continuous-time Markov regime-switching setting. Next, based on this realistic modelling, an extended Hamilton-Jacob-Bellman (HJB) system has been necessarily established for solving the optimization problem of asset-liability management. It has been derived closed-form analytical expressions applied in the time-inconsistent investment with optimal control theory to see that happens to the optimal value of the function. Ultimately, numerical examples presented with comparisons of the analytical results under different market conditions are exposed to analyse numerically the developed mean variance asset liability management strategy. We find that our proposed model can explain the financial phenomena more effectively and accurately.Shuang LiYu YangYanli ZhouYonghong WuXiangyu GeHindawi LimitedarticleMathematicsQA1-939ENJournal of Function Spaces, Vol 2021 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Mathematics QA1-939
spellingShingle	Mathematics QA1-939 Shuang Li Yu Yang Yanli Zhou Yonghong Wu Xiangyu Ge The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
description	How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion with only risky assets, which has been considered under a continuous-time Markov regime-switching setting. Next, based on this realistic modelling, an extended Hamilton-Jacob-Bellman (HJB) system has been necessarily established for solving the optimization problem of asset-liability management. It has been derived closed-form analytical expressions applied in the time-inconsistent investment with optimal control theory to see that happens to the optimal value of the function. Ultimately, numerical examples presented with comparisons of the analytical results under different market conditions are exposed to analyse numerically the developed mean variance asset liability management strategy. We find that our proposed model can explain the financial phenomena more effectively and accurately.
format	article
author	Shuang Li Yu Yang Yanli Zhou Yonghong Wu Xiangyu Ge
author_facet	Shuang Li Yu Yang Yanli Zhou Yonghong Wu Xiangyu Ge
author_sort	Shuang Li
title	The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
title_short	The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
title_full	The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
title_fullStr	The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
title_full_unstemmed	The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
title_sort	study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
publisher	Hindawi Limited
publishDate	2021
url	https://doaj.org/article/e316d2e472ba4209a2c59e56fd496046
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The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market

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