A parameterized method for optimal multi-period mean-variance portfolio selection with liability

Xun Li, Zhongfei Li, Xianping Wu, Haixiang Yao

Research output: Chapter in book / Conference proceedingChapter in an edited book (as author)Academic researchpeer-review

1 Citation (Scopus)


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.
Original languageEnglish
Title of host publicationInternational Series in Operations Research and Management Science
Number of pages20
Publication statusPublished - 1 Jan 2017

Publication series

NameInternational Series in Operations Research and Management Science
ISSN (Print)0884-8289


  • Asset-liability management
  • Mean-variance formulation
  • Multi-period portfolio

ASJC Scopus subject areas

  • Software
  • Computer Science Applications
  • Strategy and Management
  • Management Science and Operations Research
  • Applied Mathematics

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