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Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate

  • * Corresponding author: Zhongfei Li

    * Corresponding author: Zhongfei Li 

This research is supported by the National Natural Science Foundation of China (Nos. 71721001, 71871071, 71471045), the Natural Science Foundation of Guangdong Province of China (Nos. 2014A030312003, 2017A030313399, 2018B030311004), the Innovation Team Project of Guangdong Colleges and Universities (No. 2016WCXTD012), and the Innovative School Project in Higher Education of Guangdong Province of China (No. GWTP-GC-2017-03)

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