A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints

DOI10.3934/jimo.2017045zbMath1412.90099OpenAlexW2606405425MaRDI QIDQ1716940

Xianping Wu, Xun Li, Zhong-Fei Li

Publication date: 5 February 2019

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

Full work available at URL: https://doi.org/10.3934/jimo.2017045

zbMATH Keywords

optimal strategyasset-liability managementmulti-period portfolio selectionprobability constraintsmean-field formulation

Mathematics Subject Classification ID

Cites Work

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