Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93887
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 | Yang, L | en_US |
dc.date.accessioned | 2022-08-03T01:24:05Z | - |
dc.date.available | 2022-08-03T01:24:05Z | - |
dc.identifier.issn | 0167-6377 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/93887 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | © 2020 Elsevier B.V. All rights reserved. | en_US |
dc.rights | © 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/ | en_US |
dc.rights | 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 | en_US |
dc.subject | Asset–liability management | en_US |
dc.subject | Free cash flow stream | en_US |
dc.subject | Mean–variance model | en_US |
dc.subject | Wealth threshold | en_US |
dc.title | Better than optimal mean–variance portfolio policy in multi-period asset–liability management problem | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 693 | en_US |
dc.identifier.epage | 696 | en_US |
dc.identifier.volume | 48 | en_US |
dc.identifier.issue | 6 | en_US |
dc.identifier.doi | 10.1016/j.orl.2020.08.010 | en_US |
dcterms.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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Operations research letters, Nov. 2020, v. 48, no. 6, p. 693-696 | en_US |
dcterms.isPartOf | Operations research letters | en_US |
dcterms.issued | 2020-11 | - |
dc.identifier.scopus | 2-s2.0-85090402580 | - |
dc.identifier.eissn | 1872-7468 | en_US |
dc.description.validate | 202208 bcfc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0120 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 52657741 | - |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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Li_Better_Than_Optimal.pdf | Pre-Published versions | 688.31 kB | Adobe PDF | View/Open |
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