The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market

Table 1

All the related constant parameters in the case with liability.

Parameter (symbol)	Regime 1 ()	Regime 2 ()
Exit time ()	10	10
Risk-free interest rate ()	0.04	0.04
Risky asset appreciation rate ()	0.2	0.05
Risky asset volatility ()	0.3	0.07
Liability appreciation rate ()	0.08	0.04
Liability volatility ()	0.3	0.1
Differentiation of transition probabilities ()	0.3	0.7
Risk aversion ()	0.5	0.9