• Media type: E-Book
  • Title: Robust Asset-Liability Management with CRRA Utility in Regime-Switching Market : A Continuous-time Model
  • Contributor: Chen, Xiaowei [Author]; Huang, Fuzhe [Other]; Li, Xiufang [Other]
  • Published: [S.l.]: SSRN, [2019]
  • Extent: 1 Online-Ressource (26 p)
  • Language: English
  • DOI: 10.2139/ssrn.3447087
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2, 2019 erstellt
  • Description: This paper describes a robust continuous-time asset-liability management problem under Markov regime-switching. Firstly, we use the "homothetic robustness" methodology, which preserves the performance of robustness independent with wealth process, to protect the ALM model not only run well in exactly modified state variables, but also perform reasonably well if there are some forms of model misspecification. Secondly, we consider the asset-to-liability ratio instead of the difference between assets and liabilities, which ensures that we use relative values instead of absolute values for comparison, to modify the wealth process. Besides, we use the stochastic dynamic programming method to get some closed-form results and analyze the impacts of parameters on the investment strategy and value function, respectively, by numerical examples
  • Access State: Open Access