A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time

Xiangyu Cui, Xun Li, Xianping Wu, Lan Yi

Research output: Journal article publicationJournal articleAcademic researchpeer-review

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.
Original languageEnglish
Pages (from-to)487-499
Number of pages13
JournalJournal of the Operational Research Society
Volume69
Issue number4
DOIs
Publication statusPublished - 3 Apr 2018

Keywords

  • asset-liability management
  • Mean-field formulation
  • multi-period portfolio selection
  • uncertain exit time

ASJC Scopus subject areas

  • Management Information Systems
  • Strategy and Management
  • Management Science and Operations Research
  • Marketing

Cite this