Portfolio Optimization with Asset-Liability Ratio Regulation Constraints

<div>Values of <svg height="13.9365pt" id="M163" style="vertical-align:-3.834pt" version="1.1" viewbox="-0.0498162 -10.1025 13.8905 13.9365" width="13.8905pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M574 449L545 460C526 432 516 430 487 430C404 430 311 435 226 435C104 435 56 379 25 341L43 318C81 354 121 372 181 372C161 246 87 53 23 3L30 -12C48 -12 88 -4 113 11C157 75 207 248 232 371L386 367L326 109C321 86 318 66 318 50C318 4 339 -12 366 -12C410 -12 461 21 505 69L492 96C467 79 434 60 418 60C406 60 400 78 411 147C422 217 439 300 457 366C487 366 524 367 536 370C547 385 558 408 574 449Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.684,-5.741)"><path d="M486 158C486 177 478 202 466 220C413 228 386 236 336 262C386 288 413 297 466 304C478 323 486 347 485 366C470 376 444 381 422 380C389 338 368 319 321 288C323 345 329 372 349 422C339 442 322 461 305 470C289 461 271 442 262 422C281 372 287 345 290 288C243 319 222 338 189 380C167 381 142 376 125 366C125 347 133 322 145 304C198 296 225 288 275 262C225 236 198 227 145 220C133 201 125 177 126 158C141 148 167 143 189 144C222 186 243 205 290 236C288 179 282 152 262 102C272 82 289 63 306 54C322 63 340 82 350 102C330 152 324 179 321 236C368 205 390 186 422 144C444 143 470 148 486 158Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.358,3.784)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g></svg> change with <i>t</i> for different current asset-liability ratio <i>z</i>.</div>

Complexity

fig5

Figure 5

Figure 5: Portfolio Optimization with Asset-Liability Ratio Regulation Constraints 