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

Lan Yi; Xianping Wu; Xun Li; Xiangyu Cui

doi:10.1016/j.orl.2014.08.007

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

Lan Yi, Xianping Wu, Xun Li, Xiangyu Cui

Research output: Journal article publication › Journal article › Academic research › peer-review

19 Citations (Scopus)

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
Pages (from-to)	489-494
Number of pages	6
Journal	Operations Research Letters
Volume	42
Issue number	8
DOIs	https://doi.org/10.1016/j.orl.2014.08.007
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

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10.1016/j.orl.2014.08.007

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KW - Mean-field formulation

KW - Multi-period mean-variance formulation

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

Abstract

Keywords

ASJC Scopus subject areas

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