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http://hdl.handle.net/10397/74480
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 |
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Li_Mean-Field_Formulation_Multi-Period.pdf | Pre-Published version | 399.82 kB | Adobe PDF | View/Open |
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