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

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  • Xiangyu Cui
  • Xun Li
  • Xianping Wu
  • Lan Yi

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.

Suggested Citation

  • Xiangyu Cui & Xun Li & Xianping Wu & Lan Yi, 2018. "A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 69(4), pages 487-499, April.
    • Handle: RePEc:taf:tjorxx:v:69:y:2018:i:4:p:487-499
    DOI: 10.1057/s41274-017-0232-5
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