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Journal of the Operational Research Society Volume 69, 2018 - Issue 4
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Articles

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

Xiangyu CuiSchool of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China
,
Xun LiDepartment of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China
,
Xianping WuSchool of Mathematical Sciences, South China Normal University, Guangzhou, ChinaCorrespondence[email protected]
&
Lan YiManagement School, Jinan University, Guangzhou, China
Pages 487-499 | Received 08 Oct 2014, Accepted 03 Apr 2017, Published online: 16 Jan 2018

References

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