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The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management

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Abstract

This paper studies the multi-period mean-variance (MV) asset-liability portfolio management problem (MVAL), in which the portfolio is constructed by risky assets and liability. It is worth mentioning that the impact of general correlation is considered, i.e., the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods. Such a model with a general correlation structure extends the classical multi-period MVAL models with assumption of independent returns. The authors derive the explicit portfolio policy and the MV efficient frontier for this problem. Moreover, a numerical example is presented to illustrate the efficiency of the proposed solution scheme.

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Authors and Affiliations

  1. School of Mathematics and Statistics, Guangdong University of Technology, Guangzhou, 510520, China

    Xianping Wu

  2. School of Economics and Management, Fuzhou University, Fuzhou, 350108, China

    Weiping Wu & Yu Lin

Authors
  1. Xianping Wu
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  2. Weiping Wu
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  3. Yu Lin
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Correspondence to Weiping Wu.

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The authors declare no conflict of interest.

Additional information

This research was partially supported by the National Natural Science Foundation of China under Grant Nos. 72201067, 12201129, and 71973028, the Natural Science Foundation of Guangdong Province under Grant No. 2022A1515010839, the Project of Science and Technology of Guangzhou under Grant No. 202102020273, the Opening Project of Guangdong Province Key Laboratory of Computational Science at Sun Yat-sen University under Grant No. 2021004.

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Wu, X., Wu, W. & Lin, Y. The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management. J Syst Sci Complex 36, 2515–2535 (2023). https://doi.org/10.1007/s11424-023-3019-6

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  • DOI: https://doi.org/10.1007/s11424-023-3019-6

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