Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2020/1435356 |
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| _version_ | 1832566438460653568 |
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| author | De-Lei Sheng Peilong Shen |
| author_facet | De-Lei Sheng Peilong Shen |
| author_sort | De-Lei Sheng |
| collection | DOAJ |
| description | This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’ return (or a sharp fall). Applying the stochastic optimal control technique, a Hamilton–Jacobi–Bellman (HJB) equation is derived. Then, the effective investment strategy and the minimum variance are obtained explicitly by using the Lagrange duality method. Moreover, some numerical examples are provided to verify the effectiveness of our results. |
| format | Article |
| id | doaj-art-c7c407e1dcdc4a92a65c5ea069e3ffbd |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-c7c407e1dcdc4a92a65c5ea069e3ffbd2025-02-03T01:04:15ZengWileyComplexity1076-27871099-05262020-01-01202010.1155/2020/14353561435356Portfolio Optimization with Asset-Liability Ratio Regulation ConstraintsDe-Lei Sheng0Peilong Shen1School of Applied Mathematics, Shanxi University of Finance and Economics, Taiyuan 030006, ChinaSchool of Finance, Shanxi University of Finance and Economics, Taiyuan 030006, ChinaThis paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’ return (or a sharp fall). Applying the stochastic optimal control technique, a Hamilton–Jacobi–Bellman (HJB) equation is derived. Then, the effective investment strategy and the minimum variance are obtained explicitly by using the Lagrange duality method. Moreover, some numerical examples are provided to verify the effectiveness of our results.http://dx.doi.org/10.1155/2020/1435356 |
| spellingShingle | De-Lei Sheng Peilong Shen Portfolio Optimization with Asset-Liability Ratio Regulation Constraints Complexity |
| title | Portfolio Optimization with Asset-Liability Ratio Regulation Constraints |
| title_full | Portfolio Optimization with Asset-Liability Ratio Regulation Constraints |
| title_fullStr | Portfolio Optimization with Asset-Liability Ratio Regulation Constraints |
| title_full_unstemmed | Portfolio Optimization with Asset-Liability Ratio Regulation Constraints |
| title_short | Portfolio Optimization with Asset-Liability Ratio Regulation Constraints |
| title_sort | portfolio optimization with asset liability ratio regulation constraints |
| url | http://dx.doi.org/10.1155/2020/1435356 |
| work_keys_str_mv | AT deleisheng portfoliooptimizationwithassetliabilityratioregulationconstraints AT peilongshen portfoliooptimizationwithassetliabilityratioregulationconstraints |