摘要：We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two numerical results using empirical data published by Japanese organizations are served: simulations tracking an artificial liability and an estimated liability of Japanese organization. The latter one demonstrates that our optimal portfolio strategy can hedge his or her liability.
关键词：Pension Fund Management; Long Term Portfolio Optimization; Quadratic Hedging; Stochastic Optimal Control; Hamilton-Jacobi-Bellman Equations; LQG Control
