Xianping Wu

Hong Kong Polytechnic University

11 Yuk Choi Rd

Hung Hom

Hong Kong

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A Mean-Field Formulation for Optimal Multi-Period Asset-Liability Mean-Variance Portfolio Selection with an Uncertain Exit Time

Number of pages: 21 Posted: 26 Oct 2015
Xiangyu Cui, Xun Li, Xianping Wu and Lan Yi
Shanghai University of Finance and Economics - School of Statistics and Management, Hong Kong Polytechnic University, Hong Kong Polytechnic University and Jinan University - Management School
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Abstract:

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mean-field formulation, multi-period portfolio selection, asset-liability management, uncertain exit time