Artikel
Optimal asset allocation subject to withdrawal risk and solvency constraints
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. In accounting for the asset-liability mismatch risk of the institution, we present a general utility optimization problem in a 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 both the solvency and asset returns of the institution compared to a standard institutional investor's asset allocation.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 10 ; Year: 2022 ; Issue: 1 ; Pages: 1-28 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
asset allocation
asset-liability management
withdrawal risk
liquidity risk
utility maximization
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cousin, Areski
Jiao, Ying
Robert, Christian Yann
Zerbib, Olivier David
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2022
- DOI
-
doi:10.3390/risks10010015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Cousin, Areski
- Jiao, Ying
- Robert, Christian Yann
- Zerbib, Olivier David
- MDPI
Entstanden
- 2022
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