A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time.
Xiangyu CuiXun LiXianping WuLan YiPublished in: J. Oper. Res. Soc. (2018)
Keyphrases
- portfolio selection
- multi period
- robust optimization
- financial markets
- optimal portfolio
- lot sizing
- portfolio optimization
- production planning
- planning horizon
- facility location problem
- portfolio management
- data envelopment analysis
- routing problem
- multi item
- multiple objectives
- total cost
- stock market
- decision making
- traffic flow
- multistage
- evolutionary algorithm
- stock price
- expected cost
- semidefinite programming
- approximation algorithms
- supply chain
- cost function
- special case
- objective function