Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem

Xiangyu Cui, Xun Li, Lanzhi Yang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Abstract

When the wealth is larger than some threshold in multi-period mean–variance asset–liability management, the pre-committed policy is no longer mean–variance efficient policy for the remaining investment horizon. To revise the policy, by relaxing self-financing constraint and allowing to withdraw some wealth, we derive a new dominating policy, which is better than the pre-committed policy. The revised policy can achieve the same mean–variance pairs attained by the pre-committed policy, and yields a nonnegative free cash flow stream over the investment horizon.
Original languageEnglish
Pages (from-to)693-696
Number of pages4
JournalOperations Research Letters
Volume48
Issue number6
DOIs
Publication statusPublished - Nov 2020

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