Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/74480
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Cui, X | en_US |
dc.creator | Li, X | en_US |
dc.creator | Wu, X | en_US |
dc.creator | Yi, L | en_US |
dc.date.accessioned | 2018-03-29T07:16:55Z | - |
dc.date.available | 2018-03-29T07:16:55Z | - |
dc.identifier.issn | 0160-5682 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/74480 | - |
dc.language.iso | en | en_US |
dc.publisher | Palgrave Macmillan | en_US |
dc.rights | © Operational Research Society 2017 | en_US |
dc.rights | This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of the Operational Research Society on 16 Jan 2018 (published online), available at: http://www.tandfonline.com/10.1057/s41274-017-0232-5 | en_US |
dc.subject | Asset–liability management | en_US |
dc.subject | Mean-field formulation | en_US |
dc.subject | Multi-period portfolio selection | en_US |
dc.subject | Uncertain exit time | en_US |
dc.title | A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 487 | en_US |
dc.identifier.epage | 499 | en_US |
dc.identifier.volume | 69 | en_US |
dc.identifier.issue | 4 | en_US |
dc.identifier.doi | 10.1057/s41274-017-0232-5 | en_US |
dcterms.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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Journal of the Operational Research Society, 2018, v. 69, no. 4, p. 487-499 | en_US |
dcterms.isPartOf | Journal of the Operational Research Society | en_US |
dcterms.issued | 2018 | - |
dc.identifier.scopus | 2-s2.0-85018790491 | - |
dc.identifier.eissn | 1476-9360 | en_US |
dc.identifier.rosgroupid | 2017000110 | - |
dc.description.ros | 2017-2018 > Academic research: refereed > Publication in refereed journal | en_US |
dc.description.validate | 201802 bcrc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0383 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 6744079 | - |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Li_Mean-Field_Formulation_Multi-Period.pdf | Pre-Published version | 399.82 kB | Adobe PDF | View/Open |
Page views
130
Last Week
0
0
Last month
Citations as of Sep 8, 2024
Downloads
56
Citations as of Sep 8, 2024
SCOPUSTM
Citations
7
Last Week
0
0
Last month
Citations as of Sep 19, 2024
WEB OF SCIENCETM
Citations
5
Last Week
0
0
Last month
Citations as of Sep 19, 2024
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.