澳门蒲京娱乐场

科学研究
报告题目:

Mean-variance asset-liability management with partial information and uncertain time horizon

报告人:

彭幸春 副教授(武汉理工大学)

报告时间:

报告地点:

理学院东北楼四楼报告厅(404)

报告摘要:

In this talk we study a mean-variance asset-liability management (ALM) problem with uncertain time horizon and partial information. The asset-liability manager can invest in an incomplete financial market consisting of one riskless asset and n risky stocks. The stocks price process is described by a multidimensional diffusion process with random coefficients. The uncontrollable liability process is modelled by a general diffusion process with hedgeable risks and unhedgeable risks. The uncertainty of the time horizon is assumed to come from randomness of financial assets and the liability and some other stochastic factors. The asset-liability manager may get only partial information about the liability. We derive the efficient strategies and efficient frontiers in terms of the solutions of two BSDEs under complete and partial information. The closed form expressions of efficient strategies and efficient frontiers are obtained under some special cases.