Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach
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DOI: 10.1080/01605682.2019.1610207
Abstract: Abstract Using a multi-period mean-variance model, we investigate an asset-liability portfolio management problem with probability constraints, where an investor intends to control the probability of bankruptcy before the terminal time in the investment. In our… read more here.
Keywords: multi period; probability; liability; cash flows ... See more keywords