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

doi:10.1057/s41274-017-0232-5

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 publication › Journal article › Academic research › peer-review

8 Citations (Scopus)

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 language	English
Pages (from-to)	487-499
Number of pages	13
Journal	Journal of the Operational Research Society
Volume	69
Issue number	4
DOIs	https://doi.org/10.1057/s41274-017-0232-5
Publication status	Published - 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

More information

10.1057/s41274-017-0232-5

http://hdl.handle.net/10397/74480

Cite this

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title = "A Mean-Field Formulation for Multi-Period Asset-liability Mean-Variance Portfolio Selection with an Uncertain Exit Time",

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",

author = "Xiangyu Cui and Xun Li and Xianping Wu and Lan Yi",

note = "Funding Information: This work was partially supported by National Natural Science Foundation of China under Grants 71671106, 11371235 and 11571124, State Key Program in the Major Research Plan of National Natural Science Foundation of China under Grant 91546202, China Postdoctoral Science Foundation 2 016M592505, and Research Grants Council of Hong Kong under Grants 15209614, 15224215 and 15255416. Publisher Copyright: {\textcopyright} Operational Research Society 2017.",

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doi = "10.1057/s41274-017-0232-5",

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AU - Cui, Xiangyu

AU - Li, Xun

AU - Wu, Xianping

AU - Yi, Lan

N1 - Funding Information: This work was partially supported by National Natural Science Foundation of China under Grants 71671106, 11371235 and 11571124, State Key Program in the Major Research Plan of National Natural Science Foundation of China under Grant 91546202, China Postdoctoral Science Foundation 2 016M592505, and Research Grants Council of Hong Kong under Grants 15209614, 15224215 and 15255416. Publisher Copyright: © Operational Research Society 2017.

PY - 2018/4/3

Y1 - 2018/4/3

N2 - 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.

AB - 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.

KW - asset-liability management

KW - Mean-field formulation

KW - multi-period portfolio selection

KW - uncertain exit time

UR - https://www.scopus.com/pages/publications/85018790491

U2 - 10.1057/s41274-017-0232-5

DO - 10.1057/s41274-017-0232-5

M3 - Journal article

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VL - 69

SP - 487

EP - 499

JO - Journal of the Operational Research Society

JF - Journal of the Operational Research Society

IS - 4

ER -

A Mean-Field Formulation for Multi-Period Asset-liability Mean-Variance Portfolio Selection with an Uncertain Exit Time

Abstract

Keywords

ASJC Scopus subject areas

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