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

Abstract

The asset-liability management problem with cash flow under an uncertain exit time has been investigated in this article, which is based on the fundamental framework of the mean-variance model in the multi-period version. The liability and random cash flow will affect asset optimization, while the investor may be forced to withdraw from investments with a random probability at each period in our model. The closed-form expressions for the mean-variance optimal portfolio selection and its corresponding efficient frontier are obtained by employing the mean-field formulation and dynamic programming approach. Moreover, some numerical examples are provided to illustrate the validity and accuracy of the theoretical results.

Keywords

• mean-field formulation
• optimal strategy
• closed-form expressions
• 49l20
• 91g10
• 93e20