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

This paper has been re-typeset by Taylor & Francis from the manuscript originally provided to the previous publisher.

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.

Keywords:

• Mean-field formulation
• multi-period portfolio selection
• asset–liability management
• uncertain exit time

Acknowledgements

This work was partially supported by National Natural Science Foundation of China under Grants 71671106, 11371235 and 11571124, State Key Program in the Major Research Plan of National Natural Science Foundation of China under Grant 91546202, China Postdoctoral Science Foundation 2 016M592505, and Research Grants Council of Hong Kong under Grants 15209614, 15224215 and 15255416.

Notes

This paper has been re-typeset by Taylor & Francis from the manuscript originally provided to the previous publisher.