Abstract
A multi-period mean-variance portfolio selection problem with an uncertain exit time is one of the nonseparable dynamic optimization problems as the principle of optimality of dynamic programming no longer applies. In this paper, we introduce a mean-field formulation to tackle this multi-period nonseparable problem directly without introducing an embedding scheme. Moreover, we shed light on the efficient feature of the mean-field formulation when dealing with the issue of dynamic nonseparability.
Original language | English |
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Pages (from-to) | 489-494 |
Number of pages | 6 |
Journal | Operations Research Letters |
Volume | 42 |
Issue number | 8 |
DOIs | |
Publication status | Published - 1 Jan 2014 |
Keywords
- Mean-field formulation
- Multi-period mean-variance formulation
- Multi-period portfolio selection
- Uncertain exit time
ASJC Scopus subject areas
- Software
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics