Photo by erol from unsplash
This paper is concerned with studying an optimal multi-period asset-liability mean-variance portfolio selection with probability constraints using mean-field formulation without embedding technique. We strictly derive its analytical optimal strategy and… Click to show full abstract
This paper is concerned with studying an optimal multi-period asset-liability mean-variance portfolio selection with probability constraints using mean-field formulation without embedding technique. We strictly derive its analytical optimal strategy and efficient frontier. Numerical examples shed light on efficiency and accuracy of our method when dealing with this class of multi-period non-separable mean-variance portfolio selection problems.
Keywords:
multi period;
mean variance;
portfolio selection;
variance portfolio
Journal Title: Journal of Industrial and Management Optimization
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Journal of Industrial and Management Optimization
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!