A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints

Abstract

This paper is concerned with studying an optimal multi-period asset-liability mean-variance portfolio selection with probability constraints using mean-field formulation without embedding technique. We strictly derive its analytical optimal strategy and efficient frontier. Numerical examples shed light on efficiency and accuracy of our method when dealing with this class of multi-period non-separable mean-variance portfolio selection problems.