Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/74480
Title: A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time
Authors: Cui, X
Li, X 
Wu, X
Yi, L
Keywords: Asset–liability management
Mean-field formulation
Multi-period portfolio selection
Uncertain exit time
Issue Date: 2018
Publisher: Palgrave Macmillan
Source: Journal of the Operational Research Society, 2018, v. 69, no. 4, p. 487-499 How to cite?
Journal: Journal of the Operational Research Society 
Abstract: This paper is concerned with multi-period asset–liability mean–variance portfolio selection with an uncertain exit time. By employing the mean-field formulation to this problem which involves two-dimensional state variables, we derive the analytical optimal strategy and efficient frontier successfully. The corresponding sensitivity analysis and a real-life example shed light on influences of liability and uncertain exit time to the optimal investment strategy.
URI: http://hdl.handle.net/10397/74480
ISSN: 0160-5682
EISSN: 1476-9360
DOI: 10.1057/s41274-017-0232-5
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

Page view(s)

62
Last Week
3
Last month
Citations as of May 21, 2019

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.