Continuous-Time Optimal Portfolio Selection with Liability

Xie Shuxiang;Li Zhongfei

Journal of Systems Science and Mathematical Sciences ›› 2007, Vol. 27 ›› Issue (6) : 801-810.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Mathematical Sciences ›› 2007, Vol. 27 ›› Issue (6) : 801-810. DOI: 10.12341/jssms10020
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Continuous-Time Optimal Portfolio Selection with Liability

  • Xie Shuxiang(1),Li Zhongfei(2)
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Abstract

In the paper a continuous-time mean-variance portfolio selection model with liability is established. Under the assumption that the price of the risky asset follows a geometric Brownian motion and the liability evolves according to a Brownian motion with drift, all the market coefficients are assumed to be
constants, we derive the optimal strategy and efficient frontier in closed forms for the mean-variance model by use of general stochastic LQ technique.

Key words

Portfolio / liability / continuous-time / M-V model / stochastic LQ control.

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Xie Shuxiang , Li Zhongfei. Continuous-Time Optimal Portfolio Selection with Liability. Journal of Systems Science and Mathematical Sciences, 2007, 27(6): 801-810 https://doi.org/10.12341/jssms10020
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