Research Article
The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market
Table 3
All the related constant parameters in the case without 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 |
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