A Mean-Field Formulation for Optimal Multi-Period Asset-Liability Mean-Variance Portfolio Selection with an Uncertain Exit Time

This paper is concerned with optimal multi-period asset-liability mean-variance portfolio selection with an uncertain exit time. By extending the current mean-field theory and proposing two dimensional mean-field formulation, the analytical optimal strategies and efficient frontiers are successfully derived. Sensitivity analysis is also presented to help the investor understand the influences of liability and uncertain exit time

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Year of publication:	2015
Authors:	Cui, Xiangyu
Other Persons:	Li, Xun (contributor) ; Wu, Xianping (contributor) ; Yi, Lan (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 21, 2015 erstellt
Other identifiers:	10.2139/ssrn.2680109 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013013154