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http://hdl.handle.net/10397/93905
Title: | Multi-period asset-liability management with cash flows and probability constraints : a mean-field formulation approach | Authors: | Li, X Wu, X Yao, H |
Issue Date: | 2020 | Source: | Journal of the Operational Research Society, 2020, v. 71, no. 10, p. 1563-1580 | Abstract: | Using a multi-period mean-variance model, we investigate an asset-liability portfolio management problem with probability constraints, where an investor intends to control the probability of bankruptcy before the terminal time in the investment. In our model, the wealth process is influenced not only by return on assets and liability but also by uncontrolled cash flows. Applying a mean-field formulation, we obtain closed-form expressions for an efficient investment strategy and its corresponding mean-variance efficient frontier. Sensitivity analysis is also presented to help investors understand the influences of cash flows and probability constraints better. | Keywords: | Asset-liability management Cash flow Mean-field formulation Multi-period mean-variance model Probability constraints |
Publisher: | Palgrave Macmillan | Journal: | Journal of the Operational Research Society | ISSN: | 0160-5682 | EISSN: | 1476-9360 | DOI: | 10.1080/01605682.2019.1610207 | Rights: | © Operational Research Society 2019 This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of the Operational Research Society on 14 Jun 2019 (published online), available at: http://www.tandfonline.com/10.1080/01605682.2019.1610207 |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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Li_Multi-Period_Asset-Liability_Management.pdf | Pre-Published version | 434.38 kB | Adobe PDF | View/Open |
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