Time-consistent Optimal Portfolio Strategy for Asset-liability Management under Mean-variance Criterion

摘要: This paper studies the time-consistent optimal portfolio strategy of an investor with exogenous liability. Assume that adopts mean-variance criterion and trades continuously in a market consisting one risk-free asset risky asset; price value liability are governed by geometric Brownian motions. An extended Hamilton-Jacobi-Bellman equation is derived, analytical expressions efficient frontier obtained. A numerical example provided to show results. Our main findings are: (1) introducing makes be stochastic process; (2) under for asset-liability management below both case no pre-commitment management.