| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076664 | Insurance: Mathematics and Economics | 2013 | 12 Pages |
Abstract
⺠A continuous-time mean-variance model with endogenous liabilities is studied. ⺠The Lagrange multiplier method, the HJB approach and the Khatri-Rao product technique are used. ⺠The existence and uniqueness of the solution to the related Riccati equation are proved. ⺠Explicit expressions of the efficient strategy and frontier are derived. ⺠Two degenerate cases are discussed and some numerical examples are presented.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Haixiang Yao, Yongzeng Lai, Yong Li,