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http://hdl.handle.net/10397/96566
Title: | Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time | Authors: | Liu, W Sun, Y Chen, X |
Issue Date: | Jan-2022 | Source: | Open mathematics, Jan. 2022, v. 20, no. 1, p. 24-37 | Abstract: | The asset-liability management problem with cash flow under an uncertain exit time has been investigated in this article, which is based on the fundamental framework of the mean-variance model in the multi-period version. The liability and random cash flow will affect asset optimization, while the investor may be forced to withdraw from investments with a random probability at each period in our model. The closed-form expressions for the mean-variance optimal portfolio selection and its corresponding efficient frontier are obtained by employing the mean-field formulation and dynamic programming approach. Moreover, some numerical examples are provided to illustrate the validity and accuracy of the theoretical results. | Keywords: | Closed-form expressions Mean-field formulation Optimal strategy |
Publisher: | Walter de Gruyter GmbH | Journal: | Open mathematics | EISSN: | 2391-5455 | DOI: | 10.1515/math-2022-0007 | Rights: | © 2022 Wei Liu et al., published by De Gruyter. This work is licensed under the Creative Commons Attribution 4.0 International License (https://creativecommons.org/licenses/by/4.0/). The following publication Liu, W., Sun, Y., & Chen, X. (2022). Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time. Open Mathematics, 20(1), 24-37 is available at https://doi.org/10.1515/math-2022-0007. |
Appears in Collections: | Journal/Magazine Article |
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10.1515_math-2022-0007.pdf | 2.63 MB | Adobe PDF | View/Open |
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