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Zbl 1160.90544
Yi, Lan; Li, Zhongfei; Li, Duan
Multi-period portfolio selection for asset-liability management with uncertain investment horizon. (English)
[J] J. Ind. Manag. Optim. 4, No. 3, 535-552 (2008). ISSN 1547-5816; ISSN 1553-166X/e

Summary: It is often the case that some unexpected event may force an investor to terminate her investment and leave the market. We consider in this paper the mean-variance formulation of multi-period portfolio optimization for asset-liability management with an uncertain investment horizon. Under the assumption that exit time follows a given distribution, the problem under investigation with uncertain investment horizon can be translated into one with deterministic exit time. By making use of the embedding technique of {\it D. Li} and {\it W.-L. Ng} [Math. Finance 10, 387--406 (2000; Zbl 0997.91027)], we derive an analytical optimal strategy and an analytical expression of the mean-variance efficient frontier for the mean-variance formulation of the problem.

MSC 2000:: *90B50 Multiple-criteria decision making
90C26 Nonconvex programming
91B28 Finance etc.
49N15 Duality theory (optimization)

Keywords: uncertain investment horizon; asset-liability(AL) management; multi-period mean-variance formulation; dynamic programming; optimal investment strategy

Citations: Zbl 0997.91027

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