Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/36184
Title: A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
Authors: Yi, L
Wu, XP
Li, X 
Cui, XY
Keywords: Mean-field formulation
Multi-period portfolio selection
Multi-period mean-variance formulation
Uncertain exit time
Issue Date: 2014
Publisher: North-Holland
Source: Operations research letters, 2014, v. 42, no. 8, p. 489-494 How to cite?
Journal: Operations research letters 
Abstract: A multi-period mean-variance portfolio selection problem with an uncertain exit time is one of the nonseparable dynamic optimization problems as the principle of optimality of dynamic programming no longer applies. In this paper, we introduce a mean-field formulation to tackle this multi-period nonseparable problem directly without introducing an embedding scheme. Moreover, we shed light on the efficient feature of the mean-field formulation when dealing with the issue of dynamic nonseparability.
URI: http://hdl.handle.net/10397/36184
ISSN: 0167-6377
EISSN: 1872-7468
DOI: 10.1016/j.orl.2014.08.007
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