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 | ||||||
Availability of Full Text: |
|
||||||
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 | ||||
Share: |