A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints (Q1716940)
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scientific article; zbMATH DE number 7012475
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| English | A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints |
scientific article; zbMATH DE number 7012475 |
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A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints (English)
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5 February 2019
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mean-field formulation
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multi-period portfolio selection
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asset-liability management
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probability constraints
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optimal strategy
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0.8384904861450195
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0.8192278146743774
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0.8094655275344849
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0.8075494170188904
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0.7929447889328003
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