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.
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Erschienen in
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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)
- Urheber
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Liu, Wei
Sun, Youfa
Chen, Xu
- DOI
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10.1515/math-2022-0007
- URN
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urn:nbn:de:101:1-2022072814064490438365
- Rechteinformation
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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15.08.2025, 07:30 MESZ
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Beteiligte
- Liu, Wei
- Sun, Youfa
- Chen, Xu
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