Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time

DOI10.1515/math-2022-0007zbMath1492.91333OpenAlexW4214500295MaRDI QIDQ2135044

Xu Chen, Youfa Sun, Wei Liu

Publication date: 4 May 2022

Published in: Open Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/math-2022-0007

zbMATH Keywords

optimal strategyclosed-form expressionsmean-field formulation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Continuous‐time mean–variance portfolio selection: A reinforcement learning framework

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