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 publicationJournal articleAcademic researchpeer-review

17 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 languageEnglish
Pages (from-to)489-494
Number of pages6
JournalOperations Research Letters
Volume42
Issue number8
DOIs
Publication statusPublished - 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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