Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/74480
PIRA download icon_1.1View/Download Full Text
Title: A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time
Authors: Cui, X
Li, X 
Wu, X
Yi, L
Issue Date: 2018
Source: Journal of the Operational Research Society, 2018, v. 69, no. 4, p. 487-499
Abstract: This paper is concerned with multi-period asset–liability mean–variance portfolio selection with an uncertain exit time. By employing the mean-field formulation to this problem which involves two-dimensional state variables, we derive the analytical optimal strategy and efficient frontier successfully. The corresponding sensitivity analysis and a real-life example shed light on influences of liability and uncertain exit time to the optimal investment strategy.
Keywords: Asset–liability management
Mean-field formulation
Multi-period portfolio selection
Uncertain exit time
Publisher: Palgrave Macmillan
Journal: Journal of the Operational Research Society 
ISSN: 0160-5682
EISSN: 1476-9360
DOI: 10.1057/s41274-017-0232-5
Rights: © Operational Research Society 2017
This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of the Operational Research Society on 16 Jan 2018 (published online), available at: http://www.tandfonline.com/10.1057/s41274-017-0232-5
Appears in Collections:Journal/Magazine Article

Files in This Item:
File Description SizeFormat 
Li_Mean-Field_Formulation_Multi-Period.pdfPre-Published version399.82 kBAdobe PDFView/Open
Open Access Information
Status open access
File Version Final Accepted Manuscript
Access
View full-text via PolyU eLinks SFX Query
Show full item record

Page views

59
Last Week
3
Last month
Citations as of Oct 2, 2022

Downloads

4
Citations as of Oct 2, 2022

SCOPUSTM   
Citations

5
Last Week
0
Last month
Citations as of Oct 6, 2022

WEB OF SCIENCETM
Citations

3
Last Week
0
Last month
Citations as of Oct 6, 2022

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.