Time-Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-Dependent Risk Aversion  

作　　者：Liu-Meng Peng Xiang-Yu Cui Yun Shi 

机构地区：[1]School of Management,Shanghai University,Shanghai 200444,China [2]School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai 200433,China

出　　处：《Journal of the Operations Research Society of China》2018年第1期175-188,共14页中国运筹学会会刊（英文）

基　　金：This research was supported by the National Natural Science Foundation of China(Nos.71601107,71671106 and 71201094);Shanghai Pujiang Program(No.15PJC051);the State Key Program in the Major Research Plan of National Natural Science Foundation of China(No.91546202);Program for Innovative Research Team of Shanghai University of Finance and Economics.

摘　　要：In reality,when facing a multi-period asset-liability portfolio selection problem,the risk aversion attitude of a mean-variance investor may depend on the wealth level and liability level.Thus,in this paper,we propose a state-dependent risk aversion model for the investor,in which risk aversion is a linear function of current wealth level and current liability level.Due to the time inconsistency of the resulting multi-period asset-liability mean-variance model,we investigate its time-consistent portfolio policy by solving a nested mean-variance game formulation.We derive the analytical time-consistent portfolio policy,which takes a linear form of current wealth level and current liability level.We also analyze the influence of the risk aversion coefficients on the time-consistent portfolio policy and the investment performance via a numerical example.

关 键 词：State-dependent risk aversion Asset-liability mean-variance model Time-consistent portfolio policy 

分 类 号：O17[理学—数学]