Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/96566
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | - |
dc.creator | Liu, W | en_US |
dc.creator | Sun, Y | en_US |
dc.creator | Chen, X | en_US |
dc.date.accessioned | 2022-12-07T02:55:27Z | - |
dc.date.available | 2022-12-07T02:55:27Z | - |
dc.identifier.uri | http://hdl.handle.net/10397/96566 | - |
dc.language.iso | en | en_US |
dc.publisher | Walter de Gruyter GmbH | en_US |
dc.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/). | en_US |
dc.rights | 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. | en_US |
dc.subject | Closed-form expressions | en_US |
dc.subject | Mean-field formulation | en_US |
dc.subject | Optimal strategy | en_US |
dc.title | Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 24 | en_US |
dc.identifier.epage | 37 | en_US |
dc.identifier.volume | 20 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.doi | 10.1515/math-2022-0007 | en_US |
dcterms.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. | - |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Open mathematics, Jan. 2022, v. 20, no. 1, p. 24-37 | en_US |
dcterms.isPartOf | Open mathematics | en_US |
dcterms.issued | 2022-01 | - |
dc.identifier.scopus | 2-s2.0-85125739615 | - |
dc.identifier.eissn | 2391-5455 | en_US |
dc.description.validate | 202212 bckw | - |
dc.description.oa | Version of Record | en_US |
dc.identifier.FolderNumber | OA_Scopus/WOS | - |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
10.1515_math-2022-0007.pdf | 2.63 MB | Adobe PDF | View/Open |
Page views
58
Last Week
1
1
Last month
Citations as of May 12, 2024
Downloads
24
Citations as of May 12, 2024
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.