A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time

摘要

This paper is concerned with multi-period asset-liability mean-variance portfolio selection with an uncertain exit time. By employing the mean-field formulation to this problem which involves two-dimensional state variables, we derive the analytical optimal strategy and efficient frontier successfully.The corresponding sensitivity analysis and a real-life example shed light on influences of liability and uncertain exit time to the optimal investment strategy.