Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/74480
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorCui, Xen_US
dc.creatorLi, Xen_US
dc.creatorWu, Xen_US
dc.creatorYi, Len_US
dc.date.accessioned2018-03-29T07:16:55Z-
dc.date.available2018-03-29T07:16:55Z-
dc.identifier.issn0160-5682en_US
dc.identifier.urihttp://hdl.handle.net/10397/74480-
dc.language.isoenen_US
dc.publisherPalgrave Macmillanen_US
dc.rights© Operational Research Society 2017en_US
dc.rightsThis 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/s41274-017-0232-5en_US
dc.subjectAsset–liability managementen_US
dc.subjectMean-field formulationen_US
dc.subjectMulti-period portfolio selectionen_US
dc.subjectUncertain exit timeen_US
dc.titleA mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit timeen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage487en_US
dc.identifier.epage499en_US
dc.identifier.volume69en_US
dc.identifier.issue4en_US
dc.identifier.doi10.1057/s41274-017-0232-5en_US
dcterms.abstractThis 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of the Operational Research Society, 2018, v. 69, no. 4, p. 487-499en_US
dcterms.isPartOfJournal of the Operational Research Societyen_US
dcterms.issued2018-
dc.identifier.scopus2-s2.0-85018790491-
dc.identifier.eissn1476-9360en_US
dc.identifier.rosgroupid2017000110-
dc.description.ros2017-2018 > Academic research: refereed > Publication in refereed journalen_US
dc.description.validate201802 bcrcen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberAMA-0383-
dc.description.fundingSourceRGCen_US
dc.description.pubStatusPublisheden_US
dc.identifier.OPUS6744079-
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