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

Xiangyu Cui, Xun Li, Xianping Wu and Lan Yi

Journal of the Operational Research Society, 2018, vol. 69, issue 4, 487-499

Abstract: 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.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:taf:tjorxx:v:69:y:2018:i:4:p:487-499

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DOI: 10.1057/s41274-017-0232-5

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