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《Journal of Chongqing Normal University(Natural Science)》 2018-04
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Time-consistent Investment Strategy Selection under Asset and Liability Management

YANG Peng;School of Science,Xijing University;  
[Purposes]When the risky asset'price is governed by ajump-diffusion process while the liability evolves according to a Brownian motion with drift,the objective is to choose an optimal time-consistent investment strategy so as to maximize the expected terminal surplus while minimizing the variance of the terminal surplus.[Methods]The problem is investigated by using the extended Hamilton-Jacobi-Bellman dynamic programming approach.[Findings]Closed-form solutions for the optimal investment strategy and the corresponding value functions are obtained.[Conclusions]The obtained results extend the corresponding conclusions in references on time consistent strategy selection problems.
【Fund】: 国家自然科学基金面上项目(No.11271375);; 西京学院院科研基金(No.XJ160144)
【CateGory Index】: F830
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