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

Table 2

All the related constant parameters in the case with a natural choice .

Parameter (symbol)	Regime 1 ()	Regime 2 ()
Exit time ()	10	10
The first risky asset appreciation rate ()	0.3	0.06
Other risky asset appreciation rate ()	0.2	0.05
The first risky asset volatility ()	0.3	0.07
Other risky asset volatility ()	0.2	0.09
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