Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time

Abstract: The asset-liability management problem with cash flow under an uncertain exit time has been investigated in this article, which is based on the fundamental framework of the mean-variance model in the multi-period version. The liability and random cash flow will affect asset optimization, while the investor may be forced to withdraw from investments with a random probability at each period in our model. The closed-form expressions for the mean-variance optimal portfolio selection and its corresponding efficient frontier are obtained by employing the mean-field formulation and dynamic programming approach. Moreover, some numerical examples are provided to illustrate the validity and accuracy of the theoretical results.

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource
• Language: Englisch

References and Relationships

• Bibliographic citation: Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time ; volume:20 ; number:1 ; year:2022 ; pages:24-37 ; extent:14 ; Open mathematics ; 20, Heft 1 (2022), 24-37 (gesamt 14)

Contributors, Places and Time

• Creator: Liu, Wei ; Sun, Youfa ; Chen, Xu

Further information

• DOI: 10.1515/math-2022-0007
• URN: urn:nbn:de:101:1-2022072814064490438365
• Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 15.08.2025, 7:30 AM CEST