This paper investigates asset-liability management problems in a continuous-time economy. When the financial market consists of cointegrated risky assets, institutional investors attempt to make profit from the cointegration feature on the one hand, while on the other hand they need to maintain a stable surplus level, that is, the company’s wealth less its liability. Challenges occur when the liability is random and cannot be fully financed or hedged through the financial market. For mean–variance investors, an additional concern is the rational time-consistency issue, which ensures that a decision made in the future will not be restricted by the current surplus level. By putting all these factors together, this paper derives a closed-form feedback equilibrium control for time-consistent mean–variance asset-liability management problems with cointegrated risky assets. The solution is built upon the Hamilton–Jacobi–Bellman framework addressing time inconsistency.

中文翻译：

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均值方差均衡资产负债管理策略

本文研究了连续时间经济中的资产负债管理问题。当金融市场由协整的风险资产组成时，机构投资者一方面试图从协整特征中获利，另一方面又需要保持稳定的盈余水平，即公司的财富减去负债。当负债是随机的并且无法通过金融市场完全融资或对冲时，就会出现挑战。对于均值方差投资者来说，另一个关注点是理性的时间一致性问题，它确保未来做出的决定不会受到当前盈余水平的限制。把所有这些因素放在一起，本文推导了具有协整风险资产的时间一致均值方差资产负债管理问题的封闭式反馈均衡控制。该解决方案建立在解决时间不一致问题的 Hamilton-Jacobi-Bellman 框架之上。