A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies

资产-负债管理与Epstein-Zin效用在随机利率和未知市场风险溢价下的应用

Asset-liability management with Epstein-Zin utility under stochastic interest rate and unknown market price of risk

本文在随机利率和未知市场风险溢价条件下，提出基于Epstein-Zin递归效用的资产-负债管理模型，引入终端负债约束并解决耦合FBSDE系统，得到显式解及最优投资策略，揭示部分信息的经济重要性。

含固定期限证券的资产负债管理框架

Framework for asset-liability management with fixed-term securities

针对含不同流动性资产且消费与终端财富有下界约束的最优投资消费问题，提出基于广义鞅和子问题分解的半闭式策略推导方法，通过幂效用算例和数值实验验证了参数的影响。

可操作的银行资本结构：Basel III约束下的最优控制

Tractable bank capital structure: optimal control under Basel III constraints

本文研究在Basel III约束下银行如何优化风险投资、股息发放和资本结构，通过将高维资产负债动态简化为一维杠杆率过程，提出简单可解释的政策：在上限反射障碍支付股息，必要时仅在危机边界补充资本，跳转到唯一目标水平。

Optimal investment for participating insurance contracts under VaR-Regulation

This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortality risk and complete financial market, the optimal solution is given explicitly for contracts with mortality risk using a martingale approach for constrained non-concave optimization problems. We show that regulatory VaR constraints for participating insurance contracts lead to more prudent investment than in the case of no regulation. This result is contrary to the situation where the insurer maximizes the utility o…

Optimal growth strategies for a representative agent in a continuous-time asset market

We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an infinite number of infinitesimal agents who use the same strategy and another infinitesimal agent with a different strategy who tries to outperform the market. We show that the optimal strategy for the market agents is to split their investment budgets among the assets proportionally to their discounted expected relative dividend intensities.

The robust superreplication problem: a dynamic approach

In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $ξ$ in a risk-conservative way relative to a family of probability measures $\mathcal{P}$. We first describe the evolution of $π_t(ξ)$ - the superhedging price at time $t$ of the liability $ξ$ at maturity $T$ - via a dynamic programming principle and show that $π_t(ξ)$ can be seen as a concave envelope of $π_{t+1}(ξ)$ evaluated at today's prices. Then we consider an optimal investment problem for a…