Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Optimal asset allocation subject to withdrawal risk and solvency constraints

Abstract : This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. Accounting for asset-liability mismatch risk of the institution, we present a general utility optimization problem in discrete time setting and provide a dynamic programming principle for the optimal investment strategies. Furthermore, we consider an explicit context, including liquidity risk, interest rate and credit intensity fluctuations, and show, by numerical results, that the optimal strategy improves the solvency and the asset returns of the institution compared to the baseline asset allocation.
Complete list of metadata

https://hal.archives-ouvertes.fr/hal-03244380
Contributor : Ying Jiao <>
Submitted on : Tuesday, June 1, 2021 - 11:04:14 AM
Last modification on : Saturday, June 5, 2021 - 3:11:47 AM

File

Optimal_allocation_withdrawal_...
Files produced by the author(s)

Identifiers

  • HAL Id : hal-03244380, version 1

Citation

Areski Cousin, Ying Jiao, Christian Robert, Olivier David Zerbib. Optimal asset allocation subject to withdrawal risk and solvency constraints. 2021. ⟨hal-03244380⟩

Share

Metrics

Record views

50

Files downloads

55