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http://hdl.handle.net/10397/93887
Title: | Better than optimal mean–variance portfolio policy in multi-period asset–liability management problem | Authors: | Cui, X Li, X Yang, L |
Issue Date: | Nov-2020 | Source: | Operations research letters, Nov. 2020, v. 48, no. 6, p. 693-696 | Abstract: | When the wealth is larger than some threshold in multi-period mean–variance asset–liability management, the pre-committed policy is no longer mean–variance efficient policy for the remaining investment horizon. To revise the policy, by relaxing self-financing constraint and allowing to withdraw some wealth, we derive a new dominating policy, which is better than the pre-committed policy. The revised policy can achieve the same mean–variance pairs attained by the pre-committed policy, and yields a nonnegative free cash flow stream over the investment horizon. | Keywords: | Asset–liability management Free cash flow stream Mean–variance model Wealth threshold |
Publisher: | Elsevier | Journal: | Operations research letters | ISSN: | 0167-6377 | EISSN: | 1872-7468 | DOI: | 10.1016/j.orl.2020.08.010 | Rights: | © 2020 Elsevier B.V. All rights reserved. © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Cui, X., Li, X., & Yang, L. (2020). Better than optimal mean–variance portfolio policy in multi-period asset–liability management problem. Operations Research Letters, 48(6), 693-696 is available at https://doi.org/10.1016/j.orl.2020.08.010 |
Appears in Collections: | Journal/Magazine Article |
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