Asset and Liability Management: Jump-Diffusion Case

Mark H. A. Davis and Sebastien Lleo

Chapter 11 in Risk-Sensitive Investment Management, 2014, pp 261-304 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionFinancial Market, Investment Portfolio and LiabilityFormulation of the Asset and Liability Management ProblemDynamic Programming and the Value FunctionSolving the ALM Problem Under Affine Drift AssumptionsSolving the ALM Problem Under Standard Control AssumptionsAdmissibility of the Optimal Control PolicyFund Separation Theorem

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
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