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.
| Original language | English |
|---|---|
| Pages (from-to) | 249-265 |
| Number of pages | 17 |
| Journal | Journal of Industrial and Management Optimization |
| Volume | 14 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Jan 2018 |
Keywords
- Asset-liability management
- Mean-field formulation
- Multi-period portfolio selection
- Optimal strategy
- Probability constraints
ASJC Scopus subject areas
- Business and International Management
- Strategy and Management
- Control and Optimization
- Applied Mathematics