Mei Choi Chiu

TL;DR: In this article, the authors employ stochastic optimal control theory to analytically solve the asset and liability (AL) management problem in a continuous-time setting, and derive both the optimal policy and the mean-variance efficient frontier by a Stochastic Linear Quadratic Control (SLQC) framework.

TL;DR: In this article, the authors consider the continuous-time mean-variance portfolio selection problem in a financial market in which asset prices are cointegrated and propose an index to simultaneously measure the departure level of a pair from equilibrium and the mean-reversion speed.

TL;DR: This paper considers the continuous-time mean–variance (MV) asset–liability management (ALM) problem for an insurer investing in an incomplete financial market with cointegrated assets and generalizes the technique developed by Lim (2005) to tackle this problem.

TL;DR: The dynamic safety-first principle in continuous time is studied and it is revealed that the distortion resulting from dropping the mean constraint, as a common practice to approximate the original Roy's setting, either leads to a trivial case or changes the problem nature completely to a target-reaching problem, which produces a highly leveraged trading strategy.

TL;DR: In this article, the authors derive solutions to the safety-first asset-liability management problem under both continuous-time and multi-period-time settings via investigating the relationship between the safety first management problem and the mean-variance AL management problem, and offer geometric interpretations.