TY - CHAP
T1 - A parameterized method for optimal multi-period mean-variance portfolio selection with liability
AU - Li, Xun
AU - Li, Zhongfei
AU - Wu, Xianping
AU - Yao, Haixiang
PY - 2017/1/1
Y1 - 2017/1/1
N2 - Big data is being generated by everything around us at all times. The massive amount and corresponding data of assets in the financial market naturally form a big data set. In this paper, we tackle the multi-period mean-variance portfolio of asset-liability management using the parameterized method addressed in Li et al. (SIAM J. Control Optim. 40:1540–1555, 2002) and the state variable transformation technique. By this simple yet efficient method, we derive the analytical optimal strategies and efficient frontiers accurately. A numerical example is presented to shed light on the results established in this work.
AB - Big data is being generated by everything around us at all times. The massive amount and corresponding data of assets in the financial market naturally form a big data set. In this paper, we tackle the multi-period mean-variance portfolio of asset-liability management using the parameterized method addressed in Li et al. (SIAM J. Control Optim. 40:1540–1555, 2002) and the state variable transformation technique. By this simple yet efficient method, we derive the analytical optimal strategies and efficient frontiers accurately. A numerical example is presented to shed light on the results established in this work.
KW - Asset-liability management
KW - Mean-variance formulation
KW - Multi-period portfolio
UR - http://www.scopus.com/inward/record.url?scp=85019059845&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-53518-0_9
DO - 10.1007/978-3-319-53518-0_9
M3 - Chapter in an edited book (as author)
T3 - International Series in Operations Research and Management Science
SP - 147
EP - 166
BT - International Series in Operations Research and Management Science
ER -