收益序列相关的动态资产-负债管理  

MULTIPERIOD ASSET-LIABILITY MANAGEMENT WITH SERIALLY CORRELATED YIELDS

作　　者：张玲[1,2] 李仲飞[3] 

机构地区：[1]中山大学数学与计算科学学院,广州510275 [2]广东金融学院应用数学系,广州510521 [3]中山大学岭南学院管理学院,广州510275

出　　处：《系统科学与数学》2012年第3期297-309,共13页Journal of Systems Science and Mathematical Sciences

基　　金：国家杰出青年科学基金(70825002);中国博士后科学基金(2011M501351);广东省哲学社会科学规划项目(GD11YYJ07)资助课题

摘　　要：以条件期望体现风险资产收益的相关性,建立了资产收益序列相关时资产-负债管理的动态均值-方差模型.采用Li和Ng(2000)的嵌入法,构造了一个具有二次效用函数的辅助问题,利用动态规划方法及原问题与辅助问题最优策略之间的关系,得到了原问题的最优投资组合策略和有效边界.In this paper we study an asset-liability management problem with serially correlated yields of risky assets under mean-variance criterion.By virtue of the embedding method of Li and Ng（2000）,we embed the asset-liability management problem into a separable quadratic optimization problem with serially correlated returns.Then,adopting the dynamic programming approach and using the relation between the optimal strategy of the original problem and that of an auxiliary problem,we derive the optimal strategy and the efficient frontier of the asset-liability management problem with serial correlated yields.

关 键 词：收益序列相关 资产-负债管理 均值-方差模型 动态规划 

分 类 号：F233[经济管理—会计学] O224[经济管理—国民经济]