A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time

被引：5
|
作者：
Cui, Xiangyu [1 ]
Li, Xun [2 ]
Wu, Xianping [3 ]
Yi, Lan [4 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
[2] Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
[3] South China Normal Univ, Sch Math Sci, Guangzhou, Guangdong, Peoples R China
[4] Jinan Univ, Management Sch, Guangzhou, Guangdong, Peoples R China
来源：
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | 2018年 / 69卷 / 04期
基金：
中国国家自然科学基金; 中国博士后科学基金;
关键词：
Mean-field formulation; multi-period portfolio selection; asset-liability management; uncertain exit time; OPTIMIZATION; MANAGEMENT; INSURANCE;
D O I：
10.1057/s41274-017-0232-5
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper is concerned with multi-period asset-liability mean-variance portfolio selection with an uncertain exit time. By employing the mean-field formulation to this problem which involves two-dimensional state variables, we derive the analytical optimal strategy and efficient frontier successfully. The corresponding sensitivity analysis and a real-life example shed light on influences of liability and uncertain exit time to the optimal investment strategy.
引用
收藏
页码：487 / 499
页数：13
相关论文
共 50 条
12345