Multi-period portfolio selection for asset-liability management with uncertain investment horizon

DOI10.3934/jimo.2008.4.535zbMath1160.90544OpenAlexW2332336337WikidataQ57445475 ScholiaQ57445475MaRDI QIDQ1018907

Lan Yi, Zhong-Fei Li, Li, Duan

Publication date: 26 May 2009

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2008.4.535

zbMATH Keywords

dynamic programmingmulti-period mean-variance formulationoptimal investment strategyasset-liability(AL) managementuncertain investment horizon

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Management decision making, including multiple objectives (90B50) Duality theory (optimization) (49N15) Portfolio theory (91G10)

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