Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695793
Title: Optimal asset-liability management
Author: Li, Yun
ISNI:       0000 0004 5991 1626
Awarding Body: King's College London
Current Institution: King's College London (University of London)
Date of Award: 2016
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Abstract:
In this thesis, Mean-Variance Asset-Liability management is studied ina multi-period setting. An investor aims at nding an optimal investmentstrategy in order to maximise the mean-variance objective. The prices ofassets and liabilities are formulated as geometric Brownian motions and wefurther extend them to exponential Levy process. By the Bellman principle,the explicit optimal solution is obtained under backward induction.
Supervisor: Sollich, Peter Kurt ; Kuehn, Reimer Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.695793  DOI: Not available
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