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Multi-period portfolio selection for asset-liability management with uncertain investment horizon
| 1. | Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong, China |
| 2. | Lingnan College, Sun Yat-sen University, Guangzhou 510275, GuangDong, China |
| [1] |
Lihua Bian, Zhongfei Li, Haixiang Yao. Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate. Journal of Industrial & Management Optimization, 2021, 17 (3) : 1383-1410. doi: 10.3934/jimo.2020026 |
| [2] |
Xianping Wu, Xun Li, Zhongfei Li. A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints. Journal of Industrial & Management Optimization, 2018, 14 (1) : 249-265. doi: 10.3934/jimo.2017045 |
| [3] |
Huai-Nian Zhu, Cheng-Ke Zhang, Zhuo Jin. Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks. Journal of Industrial & Management Optimization, 2020, 16 (2) : 813-834. doi: 10.3934/jimo.2018180 |
| [4] |
Yu Yuan, Hui Mi. Robust optimal asset-liability management with penalization on ambiguity. Journal of Industrial & Management Optimization, 2021 doi: 10.3934/jimo.2021121 |
| [5] |
Zhen Wang, Sanyang Liu. Multi-period mean-variance portfolio selection with fixed and proportional transaction costs. Journal of Industrial & Management Optimization, 2013, 9 (3) : 643-657. doi: 10.3934/jimo.2013.9.643 |
| [6] |
Ning Zhang. A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems. Journal of Industrial & Management Optimization, 2020, 16 (2) : 991-1008. doi: 10.3934/jimo.2018189 |
| [7] |
Zhiping Chen, Jia Liu, Gang Li. Time consistent policy of multi-period mean-variance problem in stochastic markets. Journal of Industrial & Management Optimization, 2016, 12 (1) : 229-249. doi: 10.3934/jimo.2016.12.229 |
| [8] |
Nan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Markowitz's mean-variance optimization with investment and constrained reinsurance. Journal of Industrial & Management Optimization, 2017, 13 (1) : 375-397. doi: 10.3934/jimo.2016022 |
| [9] |
Zhongbao Zhou, Ximei Zeng, Helu Xiao, Tiantian Ren, Wenbin Liu. Multiperiod portfolio optimization for asset-liability management with quadratic transaction costs. Journal of Industrial & Management Optimization, 2019, 15 (3) : 1493-1515. doi: 10.3934/jimo.2018106 |
| [10] |
Huiling Wu, Xiuguo Wang, Yuanyuan Liu, Li Zeng. Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan. Journal of Industrial & Management Optimization, 2020, 16 (6) : 2857-2890. doi: 10.3934/jimo.2019084 |
| [11] |
Qian Zhao, Yang Shen, Jiaqin Wei. Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework. Journal of Industrial & Management Optimization, 2021, 17 (3) : 1147-1171. doi: 10.3934/jimo.2020015 |
| [12] |
Liming Zhang, Rongming Wang, Jiaqin Wei. Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints. Journal of Industrial & Management Optimization, 2021 doi: 10.3934/jimo.2021140 |
| [13] |
Haixiang Yao, Zhongfei Li, Yongzeng Lai. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial & Management Optimization, 2016, 12 (1) : 187-209. doi: 10.3934/jimo.2016.12.187 |
| [14] |
Shuang Li, Chuong Luong, Francisca Angkola, Yonghong Wu. Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion. Journal of Industrial & Management Optimization, 2016, 12 (4) : 1521-1533. doi: 10.3934/jimo.2016.12.1521 |
| [15] |
Fengjun Wang, Qingling Zhang, Bin Li, Wanquan Liu. Optimal investment strategy on advertisement in duopoly. Journal of Industrial & Management Optimization, 2016, 12 (2) : 625-636. doi: 10.3934/jimo.2016.12.625 |
| [16] |
Majid Khalilzadeh, Hossein Neghabi, Ramin Ahadi. An application of approximate dynamic programming in multi-period multi-product advertising budgeting. Journal of Industrial & Management Optimization, 2021 doi: 10.3934/jimo.2021202 |
| [17] |
Yin Li, Xuerong Mao, Yazhi Song, Jian Tao. Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. Journal of Industrial & Management Optimization, 2020 doi: 10.3934/jimo.2020143 |
| [18] |
Yingxu Tian, Junyi Guo, Zhongyang Sun. Optimal mean-variance reinsurance in a financial market with stochastic rate of return. Journal of Industrial & Management Optimization, 2021, 17 (4) : 1887-1912. doi: 10.3934/jimo.2020051 |
| [19] |
Yan Zeng, Zhongfei Li, Jingjun Liu. Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers. Journal of Industrial & Management Optimization, 2010, 6 (3) : 483-496. doi: 10.3934/jimo.2010.6.483 |
| [20] |
Min Dai, Zhou Yang. A note on finite horizon optimal investment and consumption with transaction costs. Discrete & Continuous Dynamical Systems - B, 2016, 21 (5) : 1445-1454. doi: 10.3934/dcdsb.2016005 |
2020 Impact Factor: 1.801
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