Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/98626
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorWu, Xen_US
dc.creatorLi, Xen_US
dc.creatorLi, Zen_US
dc.date.accessioned2023-05-10T02:00:44Z-
dc.date.available2023-05-10T02:00:44Z-
dc.identifier.issn1547-5816en_US
dc.identifier.urihttp://hdl.handle.net/10397/98626-
dc.language.isoenen_US
dc.publisherAIMS Pressen_US
dc.rights© American Institute of Mathematical Sciencesen_US
dc.rightsThis article has been published in a revised form in Journal of Industrial and Management Optimization http://dx.doi.org/10.3934/jimo.2017045. This version is free to download for private research and study only. Not for redistribution, re-sale or use in derivative works.en_US
dc.subjectMean-field formulationen_US
dc.subjectMulti-period portfolio selectionen_US
dc.subjectAsset-liability managementen_US
dc.subjectProbability constraintsen_US
dc.subjectOptimal strategy.en_US
dc.titleA mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraintsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage249en_US
dc.identifier.epage265en_US
dc.identifier.volume14en_US
dc.identifier.issue1en_US
dc.identifier.doi10.3934/jimo.2017045en_US
dcterms.abstractThis 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of industrial and management optimization, Jan. 2018, v. 14, no. 1, p. 249-265en_US
dcterms.isPartOfJournal of industrial and management optimizationen_US
dcterms.issued2018-01-
dc.identifier.scopus2-s2.0-85042374440-
dc.identifier.eissn1553-166Xen_US
dc.description.validate202305 bcchen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberAMA-0414-
dc.description.fundingSourceRGCen_US
dc.description.pubStatusPublisheden_US
dc.identifier.OPUS6822086-
dc.description.oaCategoryGreen (AAM)en_US
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